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61st Annual Meeting February 22-25, 2012 Sheraton New Orleans Hotel New Orleans, Louisiana 1 Events Schedule Registration - Nottoway Room, 4th Floor Wednesday, 2/22/12 Thursday, 2/23/12 Friday, 2/24/12 Saturday, 2/25/12 4:00 pm – 7:00 pm 7:30 am – 5:00 pm 7:30 am – 5:00 pm 8:30 am – noon Coffee Breaks - Nottoway Room, 4th Floor - Sponsored by the CFA Institute Thursday, 2/23/12 Friday, 2/24/12 9:45 am - 10:45 am and 3:00 pm – 4:00 pm 9:45 am - 10:45 am and 3:00 pm – 4:00 pm Wednesday, 2/22/12 5:00 pm – 6:00 pm 6:00 pm – 8:00 pm Keynote Address by Wayne Ferson, Ivadelle and Theodore Johnson Chair of Banking and Finance, Marshall School of Business, University of Southern California Bayside BC, 4th Floor Welcome Reception Bayside BC Foyer, 4th Floor Thursday, 2/23/12 Noon – 1:30 pm 5:30 pm – 6:30 pm 6:30 pm – 8:00 pm Friday, 2/24/12 Noon – 1:30 pm 6:00 pm – 7:30 pm Saturday, 2/25/12 7:30 am – 9:00 am Luncheon* and Keynote Address by Anat Admati, George G. C. Parker Professor of Finance and Economics at Stanford University Armstrong Ballroom, 8th Floor Keynote Address by René M. Stulz, Everett D. Reese Chair of Banking and Monetary Economics, Ohio State University Bayside BC, 4th Floor Reception sponsored by the Federal Reserve Bank of Chicago Lagniappe, 2nd Floor Luncheon* and Keynote Address by Franklin Allen, Nippon Life Professor of Finance and Economics at the Wharton School, University of Pennsylvania. Sponsored by Dalhousie University Armstrong Ballroom, 8th Floor Reception featuring the Capital Gains Band sponsored by the Financial Research Institute, College of Business, University of Missouri-Columbia Gallery, 1st Floor Breakfast* and Annual Membership meeting, featuring the State of Industry Address by the Jim Gentry Distinguished Financial Executive, Nicolas R. Perkins, Co-Founder and President of The Receivables Exchange. Sponsored by the CFA Institute Armstrong Ballroom, 8th Floor 2 MIDWEST FINANCE ASSOCIATION ANNUAL MEETING Sheraton New Orleans Hotel New Orleans, LA Schedule of Presentations Updated 2/25/12 02/23/2012 8:00 AM–10:00 AM Location: Bayside A, 4th 1 CEO Compensation and Turnover Peggy Huang, Tulane University Exchange Rate and Macroeconomic Fluctuations as Sources of Luck in CEO Compensation Clas Wihlborg, Chapman University Hsin-Hui Chiu, California State University, Northridge Lars Oxelheim, Research Institute of Industrial Economics Jianhua Zhang, Göteborg University CEO Compensation, Family Control and Institutional Investors in Continental Europe Ettore Croci, Catholic University of the Sacred Heart of Mila Halit Gonenc, University of Groningen Neslihan Ozkan, University of Bristol Contractual Versus Actual Severance Pay Following CEO Turnover Peggy Huang, Tulane University Eitan Goldman, Indiana University Bloomington Determinants of Chairman Compensation Kevin Clarkson, Lund University Lars Oxelheim, Research Institute of Industrial Economics Discussants: Neslihan Ozkan, University of Bristol Peggy Huang, Tulane University Lars Oxelheim, Research Institute of Industrial Economics Clas Wihlborg, Chapman University 02/23/2012 8:00 AM–10:00 AM 2 Issues in Corporate Debt David Brown, University of Florida Location: Salon 825, 8th Callable Bonds: What is Special About Munis? David T. Brown, University of Florida Location and Debt Contracts Arnt Verriest, Tilburg University Stephan Hollander, Tilburg University The Performance of Structural Models in Pricing Credit Spreads Manuel Rodrigues, Cranfield University Vineet Agarwal, Cranfield University Discussants: Arnt Verriest, Tilburg University Manuel Rodrigues, Cranfield University Yan Zhao, CUNY 3 02/23/2012 8:00 AM–10:00 AM 3 Issues in Bank Lending Sadok El Ghoul, University of Alberta Location: Southdown, 4th Collectivism and Corruption in Bank Lending Xiaolan Zheng, University of South Carolina Sadok El Ghoul, University of Alberta Chuck C.Y. Kwok, University of South Carolina Omrane Guedhami, University of South Carolina Bank Lending and Electoral Uncertainty Isaac Marcelin, University of Maryland, Eastern Shore The Dynamic Study of Non-Performing Loans and Business Lending Standards: Bank Size Effect Natalya A. Schenck, Kent State University John Harris Thornton Jr., Kent State University Spillovers and Long Run Diffusion of Non-Performing Loans Risk Renata Herrerias, Instituto Tecnológico Autónomo de México Jorge O. Moreno, Instituto Tecnológico Autónomo de México Discussants: Jorge Moreno Trevino, Instituto Tecnológico Autónomo de México Sadok El Ghoul, University of Alberta Natalya Schenck, Kent State University 02/23/2012 8:00 AM–10:00 AM Location: Bayside BC, 4th 4 Portfolio Choice with Special Features Maude Toussaint-Comeau, Fed Reserve Bank of Chicago Individual Portfolio Choice When Getting Sick: The Role of Insurance Coverage Maude Toussaint-Comeau, Federal Reserve Banks - Federal Reserve Bank of Chicago Jonathan Hartley Portfolio Optimization with Asian Hedge Funds: A Comparison between the Mean Variance and the Polynomial Goal Programming Methods Lan T. P. Nguyen, Multimedia University Ming Yu Cheng, Tunku Abdul Rahman University Sayed Hossain, Multimedia University Malick O. Sy, RMIT University Wan Fadzilah Wan Yusoff, Multimedia University Quantile Regression Analysis of Exchange Rate Exposure in Cross-Country Sector Portfolios Anand B.S. Gulati, Hanken School of Economics Portfolio Selection in Asset Liability Management Using Probabilistic Utility Functions Martin Wiethuechter, EBS Universität für Wirtschaft und Recht Katharina Schueller, Ludwig-Maximilians-University Munich Discussants: Martin Wiethuechter, EBS Universität für Wirtschaft und Recht Anand Bir S. Gulati, Hanken School of Economics Maude Toussaint-Comeau, Federal Reserve Banks - Federal Reserve Bank of Chicago Lan Nguyen, Multimedia University 4 02/23/2012 8:00 AM–10:00 AM 5 Asset Pricing I Irfan Safdar, Texas A&M University Location: Oak Alley, 4th A Capital Market Test of Representativeness Irfan Safdar, Texas A&M University A Joint Experimental Analysis of IPO Pricing Methods Vinicio Souza Almeida, Universidade Federal do Rio Grande do Norte Ricardo P.C. Leal, Universidade Federal do Rio de Janeiro Information Intensity and the Cross-Section of Stock Returns Xiaofei Zhao, University of Toronto Time-Varying International Diversification and the Forward Premium Benjamin Jonen, University of Zurich Simon Scheuring, University of Zurich Discussants: Benjamin Jonen, University of Zurich Irfan Safdar, Texas A&M University Vinicio Almeida, Universidade Federal do Rio Grande do Norte Xiaofei Zhao, University of Toronto 02/23/2012 8:00 AM–10:00 AM 6 Volatility Issues Location: Estherwood, 4th Bernard Ben Sita, Lebanese American University Corridor Implied Volatility and the Variance Risk Premium in the Italian Market Silvia Muzzioli, Università degli studi di Modena e Reggio Emilia Volatility Links between U.S. Industries Bernard Ben Sita, Lebanese American University Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns Serguey Khovansky, Clark University Oleksandr Zhylyevskyy, Iowa State University Is Idiosyncratic Risk a Cost to Short-Sellers? Evidence from China Song Wang, University of Central Florida Discussants: Bernard Ben Sita, Lebanese American University Serguey Khovansky, Clark University Silvia Muzzioli, Università degli studi di Modena e Reggio Emilia Naciye Sekerci, Lund University 5 02/23/2012 8:00 AM–10:00 AM 7 Issues in Behavioral Finance Location: Salon 828, 8th Aaron Gilbert, Auckland University of Technology A Proclivity to Cheat: How Culture influences Illegal Insider Trading Bart Frijns, Auckland University of Technology Aaron B. Gilbert, Auckland University of Technology Alireza Tourani Rad, Auckland University of Technology Saving for Retirement: Financial Literacy and Behavioral Biases Colleen Tokar Asaad, Kent State University What Drives the Herding Behavior of Individual Investors? Maxime Merli, EM Strasbourg Business School Tristan Roger, University of Grenoble Discussants: Tristan Roger, University of Grenoble Aaron Gilbert, Auckland University of Technology Colleen Asaad, Kent State University 02/23/2012 8:00 AM–10:00 AM Location: Oakley, 4th 8 Corporate Investment Decisions Oliver Levine, University of Wisconsin - Madison Acquiring Growth Oliver Jacob Levine, University of Wisconsin - Madison Robust Investment Decisions and the Value of Waiting to Invest Christian Riis Flor, University of Southern Denmark Søren Hesel, University of Southern Denmark The Real Options to Startup, Shutdown, and Abandon: Empirical Evidence from the Electricity Industry Stein-Erik Fleten, Norwegian University of Science and Technology Erik Haugom, Norwegian University of Science and Technology Carl J. Ullrich, Virginia Polytechnic Institute & State University Investment and Environmental Regulation: Evidence on the Role of Cash Flow Julio Riutort, Pontificia Universidad Católica de Chile Evangelina A. Dardati, University of Texas at Austin Discussants: Søren Hesel, University of Southern Denmark Carl Ullrich, Virginia Polytechnic Institute & State University Julio Riutort, Pontificia Universidad Católica de Chile Oliver Levine, University of Wisconsin - Madison 6 02/23/2012 8:00 AM–10:00 AM Location: Evergreen, 4th 9 Issues on Market Efficiency Debarati Bhattacharya, Virginia Polytechnic Institute & State Univ. Momentum Loses its Momentum: Implications for Market Efficiency Debarati Bhattacharya, Virginia Polytechnic Institute & State University Raman Kumar, Virginia Polytechnic Institute & State University Gokhan Sonaer, Virginia Polytechnic Institute & State University A Global Investigation of Dividend Yields: Shareholder Demand, Agency Problems, and Market Quality Pawan Jain, University of Memphis Quentin C. Chu, University of Memphis Long Term Dependence of Popular and Neglected Stocks Aiwu Zhao, Skidmore College Zhixin Kang, University of North Carolina - Pembroke Spencer Cheng Uninformed Trading and the Law of One Price Rahul Ravi Ravi, Concordia University, Quebec Stephen Bertone, Concordia University, Quebec Discussants: Quentin Chu, University of Memphis Hilla Skiba, University of Wyoming Rahul Ravi, Concordia University, Quebec Debarati Bhattacharya, Virginia Polytechnic Institute & State University 02/23/2012 8:00 AM–10:00 AM 10 Market Microstructure Analysis Location: Edgewood, 4th Xin Hong, University of Kentucky Short Selling Activity, Price Efficiency and Fundamental Value of IPO Stocks Lee-Young Cheng Zhipeng Yan, New Jersey Institute of Technology Yan Zhao, City College of New York Wei-Fang Chang, National Chung Cheng University Industry Information and the 52-Week High Effect Xin Hong, University of Kentucky Bradford D. Jordan, University of Kentucky Mark H. Liu, University of Kentucky Changes in the Constituents of the S&P 500 Index and the Performance of the Index Ebenezer Asem, University of Lethbridge Shamsul Alam, University of Lethbridge Role of Market Microstructure in the Relationship between Market Co-Movement and Market Efficiency Xiaofei Zhang, University of Lethbridge Discussants: Xin Hong, University of Kentucky Shamsul Alam, University of Lethbridge Xiaofei Zhang, University of Lethbridge Arze Karam, Queen's University Belfast 7 02/23/2012 8:00 AM–10:00 AM 11 Asset Pricing II Location: Gallier, 4th Francisco Penaranda, Universitat Pompeu Fabra New Theory and Evidence on the Zero-Beta CAPM James W. Kolari, Texas A&M University Wei Liu, Texas A&M University The Predictability Implied by Consumption-Based Asset Pricing Models: A Review of the Theory and Empirical Evidence Hyoseok Hwang, Louisiana State University, Baton Rouge A Unifying Approach to the Empirical Evaluation of Asset Pricing Models Francisco Penaranda, Universitat Pompeu Fabra Enrique Sentana, Centre for Monetary and Financial Studies Bayesian Model Averaging in Multi-Factor Markets Markus Franke, Ludwig Maximilians University of Munich Discussants: Katharina Schueller, Ludwig-Maximilians-University Munich Francisco Penaranda, Universitat Pompeu Fabra Markus Franke, Ludwig Maximilians University of Munich James Kolari, Texas A&M University 02/23/2012 8:00 AM–10:00 AM 12 Capital Structure I Location: Salon 817, 8th Ruaa Binsaddig, University of London Capital Structure Deviation and Speed of Adjustment Tarun K. Mukherjee, University of New Orleans Wei Wang, University of Colorado at Boulder Capital Structure Along the Supply Chain: How Does Customer Leverage Affect Supplier Leverage Decisions? Yongqiang Chu, University of South Carolina Liying Wang, University of South Carolina An Explicit Test for Capital Structure Convergence Angelos A. Antzoulatos, University of Piraeus Kostas Koufopoulos, University of Warwick Constantinos Lambrinoudakis, University of Piraeus Emmanuel D. Tsiritakis, University of Piraeus The Determinants of Capital Structure in an Islamic Financial System: Evidence from the Kingdom of Saudi Arabia Ruaa Omar Binsaddig, University of London Paul Guest, University of London - Birkbeck College Discussants: Liying Wang, University of South Carolina Constantinos Lambrinoudakis, University of Piraeus Ruaa Binsaddig, University of London Wei Wang, University of Colorado at Boulder 8 02/23/2012 8:00 AM–10:00 AM Location: Cornet, 8th 13 Issues in Financial Institutions Kenneth Carow, Indiana University The Diminishing Role of Banks in the U.S. Money Markets: Evidence from the GFC Jason J. Park, Queensland University of Technology Janice C. Y. How, Queensland University of Technology Peter Verhoeven, Queensland University of Technology Implicit Intraday Interest Rate in the UK Unsecured Overnight Loan Market Marius Jurgilas, Central Bank of Norway Filip Zikes, Imperial College London The U.S. Treasury’s Capital Purchase Program: Selection and Investor Reaction Kenneth A. Carow, Indiana University Valentina Salotti, Iowa State University Bank Debt, Flexibility, and the Use of Proceeds from Asset Sales Hoontaek Seo, Niagara University C. Edward Fee, Michigan State University Joshua R. Pierce, University of South Carolina Shan Yan, Michigan State University Discussants: Hoontaek Seo, Niagara University Jason Park, Queensland University of Technology Marius Jurgilas, Central Bank of Norway Kenneth Carow, Indiana University 02/23/2012 8:00 AM–10:00 AM Location: Salon 816, 8th 14 Equity Offerings Clay Moffett, University of North Carolina at Wilmington Do Short Sellers Detect Mispricing Prior to Seasoned Equity Offers? Don M. Autore, Florida State University Dominique Gehy, Florida State University Danling Jiang, Florida State University The Significance and Certification of Shelf Registrations Clay M. Moffett, University of North Carolina at Wilmington J. Edward Graham, University of North Carolina at Wilmington William H. Sackley, University of North Carolina at Wilmington Discussants: Dominique Gehy, Florida State University Clay Moffett, University of North Carolina at Wilmington 9 02/23/2012 10:30 AM–12:00 PM 15 Government Debt Valentina Galvani, University of Alberta Location: Oakley, 4th Maturity Clienteles in the Municipal Bond Market: Term Premiums and the Muni Puzzle David T. Brown, University of Florida Stace Sirmans, University of Florida Understanding Term Premia on Real Bonds Jing-Zhi Huang, Pennsylvania State University Zhan Shi, Pennsylvania State University What Drives US State Bond Yields? – Fiscal Policy or Financial Market Risk Valentina Galvani, University of Alberta Stuart Landon, University of Alberta Discussants: Aiwu Zhao, Skidmore College David Brown, University of Florida Zhan Shi, Pennsylvania State University 02/23/2012 10:30 AM–12:00 PM 16 Equity Premia Joseph Goebel, Ball State University Location: Salon 816, 8th Do Jumps Contribute to the Dynamics of the Equity Premium? John M. Maheu, University of Toronto Thomas H. McCurdy, University of Toronto Xiaofei Zhao, University of Toronto Implied Returns and the Value Premium Joseph Goebel, Ball State University Equity Premia and State-Dependent Risks Michel Normandin, HEC Montreal Mohammed Bouaddi, HEC Montreal Denis Larocque, HEC Montreal Discussants: Joseph Goebel, Ball State University Michel Normandin, HEC Montreal 10 02/23/2012 10:30 AM–12:00 PM Location: Southdown, 4th 17 Corporate Governance, Social Actions and Regulatory Compliance Rani Hoitash, Bentley University Advisory Directors Olubunmi Faleye, Northeastern University Rani Hoitash, Bentley University Udi Hoitash, Northeastern University The Impact of the Dimensions of Social Performance on Firm Risk Kais Bouslah, University of Quebec at Montreal Lawrence Kryzanowski, Concordia University, Quebec Bouchra Mzali, University of Quebec at Montreal The Effects of Financial Constraints on Corporate Social Actions Abdelmajid Hmaittane, University of Quebec at Montreal Lawrence Kryzanowski, Concordia University, Quebec Bouchra Mzali, University of Quebec at Montreal Discussants: Kais Bouslah, University of Quebec at Montreal Abdelmajid Hmaittane, University of Quebec at Montreal Rani Hoitash, Bentley University 02/23/2012 10:30 AM–12:00 PM 18 International Banking Carol Osler, Brandeis University Location: Salon 817, 8th Bank Risk-Taking and the Lender of Last Resort Mark Mink, Bank of the Netherlands International Banks and the Cross-Border Transmission of Business Cycles Andrei Zlate, Government of the United States of America Ricardo Correa, Federal Reserve Board Horacio Sapriza, Federal Reserve Board Asymmetric Information and the Foreign Exchange Trades of Global Custody Banks Thang Nguyen, Brandeis University Carol L. Osler, Brandeis University Tanseli Savaser, Williams College Discussants: Carol Osler, Brandeis University Mark Mink, Bank of the Netherlands Sukhun Lee, Loyola University of Chicago 11 02/23/2012 10:30 AM–12:00 PM Location: Estherwood, 4th 19 Asymmetric Information, Transparency and Adverse Selection Joseph Farhat, Central Connecticut State University A Theory of Profit Sharing Ratio Under Adverse Selection: The Case of Islamic Venture Capital Kaouther Jouaber, University of Paris-Dauphine Meryem Mehri, University of Paris-Dauphine The Information Asymmetry and Earnings Surprises: Evidence from the US Insurance Industry Carmen Cotei, University of Hartford Joseph Farhat, Central Connecticut State University Mercedes Miranda, Wayne State University Discussants: Meryem Mehri, University of Paris-Dauphine Joseph Farhat, Central Connecticut State University Ahmed Barakat, Goethe University Frankfurt 02/23/2012 10:30 AM–12:00 PM 20 CEO Influence and Executive Compensation Location: Evergreen, 4th Matteo Arena, Marquette University CEO Reputation and Corporate Risk Taking Yilei Zhang, University of North Dakota Yixin Liu, University of Iowa Pornsit Jiraporn, Pennsylvania State University The Discretionary Effect of CEOs and Board Chairs on Corporate Governance Structures Matteo P. Arena, Marquette University Marcus V. Braga-Alves, Marquette University Marital Prenups? A Look at CEO Severance Agreements Peggy Huang, Tulane University Discussants: Matteo Arena, Marquette University Moshe Cohen, Columbia University Yilei Zhang, University of North Dakota 12 02/23/2012 10:30 AM–12:00 PM Location: Oak Alley, 4th 21 Accounting Issues and the Corporation Larry Holland, University of Arkansas at Little Rock Conservatism and Benchmarks in Accounting Martin Staehle, University of Hohenheim Niklas Lampenius, University of Hohenheim Getting the Interest Expense Right for the IGR and Pro Forma Analysis Larry C. Holland, University of Arkansas at Little Rock The Decision-Usefulness of Ideal Cost- and Value Accounting Regimes in the Context of Valuation and Stewardship Dirk Hachmeister, University of Hohenheim Niklas Lampenius, University of Hohenheim Martin Staehle, University of Hohenheim Discussants: Larry Holland, University of Arkansas at Little Rock Niklas Lampenius, University of Hohenheim Joseph Vu, DePaul University 02/23/2012 10:30 AM–12:00 PM 22 Fallouts of Financial Crisis Location: Bayside BC, 4th Cihan Uzmanoglu, Louisiana State University, Baton Rouge The Credit Risk of Banks and Non-Banks During the Crisis: Evidence from the CDS Market Burkhard Raunig, Austrian National Bank Hedge Fund Failure During Recent Financial Crisis Laleh Samarbakhsh, Wilfrid Laurier University Systemic Risk Channel and TARP: Banking Relationship Spillover in the Credit Default Swap Market Wei-Ling Song, Louisiana State University, Baton Rouge Cihan Uzmanoglu, Louisiana State University, Baton Rouge Discussants: Laleh Samarbakhsh, Wilfrid Laurier University Cihan Uzmanoglu, Louisiana State University, Baton Rouge Burkhard Raunig, Austrian National Bank 13 02/23/2012 10:30 AM–12:00 PM 23 Drivers of Mutual Fund Alpha Location: Salon 828, 8th Wolfgang Bessler, University of Giessen Capacity Effects and Winner Fund Performance: The Relevance and Interactions of Fund and Family Characteristics Wolfgang Bessler, University of Giessen Lawrence Kryzanowski, Concordia University, Quebec Philipp Kurmann, University of Giessen Peter Lueckoff, University of Giessen Performance of International and Global Equity Mutual Funds: Country and Sector Momentum Matter Bernhard Breloer, University of Erlangen-Nuremberg Hendrik Scholz, University of Erlangen-Nuremberg Marco Wilkens, University of Goettingen (Gottingen) Discussants: Bernhard Breloer, University of Erlangen-Nuremberg Philipp Kurmann, University of Giessen 02/23/2012 10:30 AM–12:00 PM 24 Global Financial Crisis Location: Bayside A, 4th Adriana Fernandez, Federal Reserve Bank of Dallas Financial Market Contagion during Global Financial Crisis Sabur Mollah, Stockholm University Goran Zafirov, Stockholm University Shahiduzzaman Quoreshi, Swedish Institute for Growth Policy Studies Forecasting the End of the Global Recession: Did We Miss the Early Signs? Adriana Fernandez, Federal Reserve Banks - Federal Reserve Bank of Dallas Alex Nikolsko-Rzhevskyy, University of Memphis Macro and Micro Determinants of Islamic and Conventional Banks Performance and Financial Crises in GCC Countries Rami Zeitun, Qatar University Discussants: Peng Chen, University of Kansas Sabur Mollah, Stockholm University Adriana Fernandez, Federal Reserve Bank of Dallas 02/23/2012 10:30 AM–12:00 PM 25 Corporate Finance and Stock Prices Location: Gallier, 4th David Burnie, Western Michigan University Do Stock Prices Conform to an Absolute Price Level? David A. Burnie, Western Michigan University Gotland University De Ridder Information Quality and Equity Risk Katsiaryna Salavei Bardos, Fairfield University Brandon N. Cline, Mississippi State University Gregory Koutmos, Fairfield University Discussants: TBA David Burnie, Western Michigan University 14 02/23/2012 10:30 AM–12:00 PM 26 Risk and Higher Moments Location: Salon 825, 8th Donald Mullineaux, University of Kentucky Cross-Section of Option Returns and Coskewness Risk Te-Feng Chen, New York University San-Lin Chung, National Taiwan University Meng-Lan Yueh, National Central University at Taiwan How Do Local Markets Respond to Global Risk Factor Differently in Various Market Regimes? A Study of Country Exchange Traded Funds Jun Yuan, Dalhousie University Leonard MacLean, Dalhousie University Kuan Xu, Dalhousie University Yonggan Zhao, Dalhousie University Skewness and Co-Skewness in Bond Returns I-Hsuan Ethan Chiang, University of North Carolina at Charlotte Discussants: I-Hsuan Ethan Chiang, University of North Carolina at Charlotte Donald Mullineaux, University of Kentucky Te-Feng Chen, New York University 02/23/2012 10:30 AM–12:00 PM 27 Issues in Investment Keith Gamble, DePaul University Location: Cornet, 8th The Informed Trades of Retail Investors Keith Jacks Gamble, DePaul University Wei Xu, Peking University Are Universities Fair? Risking the Endowment for Future Generations Thomas Gilbert, University of Washington Christopher M. Hrdlicka, University of Washington Inducing Low-Carbon Investment in the Electric Power Industry Through a Price Floor for Emissions Trading Alexander Brauneis, University of Klagenfurt Michael Loretz Roland Mestel, University of Graz Stefan Palan, University of Graz Discussants: Alexander Brauneis, University of Klagenfurt Keith Gamble, DePaul University Christopher Hrdlicka, University of Washington 15 02/23/2012 10:30 AM–12:00 PM 28 Asymmetric Information Location: Edgewood, 4th Tatjana-Xenia Puhan, University of Zurich News Articles and the Invariance Hypothesis Albert S. Kyle, University of Maryland Anna A. Obizhaeva, University of Maryland Nitish Ranjan Sinha, University of Illinois at Chicago Tugkan Tuzun, University of Maryland Index Price Discovery in the Cash Market Yanhao Fang, Louisiana State University, Baton Rouge The Information Content of Option Demand Kerstin Kehrle, University of Zurich Tatjana-Xenia Puhan, University of Zurich Discussants: Yanhao Fang, Louisiana State University, Baton Rouge Tatjana-Xenia Puhan, University of Zurich Nitish Sinha, University of Illinois at Chicago 02/23/2012 2:00 PM–3:30 PM 29 Momentum and Sentiment Location: Salon 817, 8th Mark Johnson, Loyola University Maryland Momentum, Book-to-Market Equity and the 2003 Dividend Tax Cut Allen Goss, Ryerson University Ming Dong, York University Downside Risk – Evidence from Consumer Sentiment Index Mark A. Johnson, Loyola University Maryland Atsuyuki Naka, University of New Orleans Business Cycle and Momentum Payoffs Hyoseok Hwang, Louisiana State University, Baton Rouge Discussants: Hyoseok Hwang, Louisiana State University, Baton Rouge Al Goss, Ryerson University Mark Johnson, Loyola University Maryland 16 02/23/2012 2:00 PM–3:30 PM 30 Equity Financing: IPOs and SEOs Location: Oakley, 4th Heather Rhodes, University of Alabama Financing Development Stage Biotechnology Companies: Reverse Mergers vs. IPOs Wei Wu, Willamette University Robert B. Couch, Willamette University Mark Ahn, Willamette University Attention: A Better Way to Measure SEO Marketing Impact Xing Lu, Indiana University South Bend Douglas O. Cook, University of Alabama Asymmetric Information in the Market for IPOs Heather Rhodes, University of Alabama Discussants: Xing Lu, Indiana University South Bend Heather Rhodes, University of Alabama Wei Wu, Willamette University 02/23/2012 2:00 PM–3:30 PM 31 International Stock Markets Laurence Booth, University of Toronto Location: Estherwood, 4th Interdependence, Contagion and Price Discovery: A Study of International Stock Markets Lei Wu, Nankai University Qingbin Meng II, Renmin University of China Kuan Xu, Dalhousie University Price Discovery on Common and Preferred Shares Across Multiple Markets Cristina Mabel Scherrer, Queen Mary, University of London Marcelo Fernandes, Queen Mary, University of London On International Stock Market Comovement and Macroeconomic Fundamentals Peng Chen, University of Kansas Shu Wu, University of Kansas Discussants: Laurence Booth, University of Toronto Kuan Xu, Dalhousie University Cristina Scherrer, Queen Mary, University of London 17 02/23/2012 2:00 PM–3:30 PM 32 Effects of Risk and Risk Aversion Location: Edgewood, 4th Stephen Huffman, University of Wisconsin - Oshkosh The Impact of Upside and Downside Risk on Expected Stock Returns: Across Firm Size and Value Measures Stephen P. Huffman, University of Wisconsin - Oshkosh Cliff Moll, University of Wisconsin - Oshkosh The Reaction of Stock-Bond Correlations to Risk Aversion and Real Time Macroeconomic Announcements Jan Schopen, University of Bremen Martin Missong, University of Bremen International Diversification Benefits in Periods of Crises Ons Bouslama, Institut des Hautes Etudes Commerciales Olfa Ben Ouda, Institut des Hautes Etudes Commerciales Discussants: Jan Schopen, University of Bremen Ons Bouslama, Institut des Hautes Etudes Commerciales Stephen Huffman, University of Wisconsin - Oshkosh 02/23/2012 2:00 PM–3:30 PM 33 Bank and Loan Failure Location: Salon 828, 8th Douglas Evanoff, Federal Reserve Bank of Chicago Pitfalls in Modeling Loss Given Default of Bank Loans Martin Hibbeln, Technische Universität Braunschweig Marc Gürtler, Technische Universität Braunschweig Decline in Franchise Values During the Financial Crisis of 2008: The Effect of Bank and Thrift Charters Natalya A. Schenck, Kent State University John Harris Thornton Jr., Kent State University The Resolution of Failed Banks During the Crisis: Acquirer Wealth Effects, Bidding and FDIC Guarantees, 2008-2010 Arnold R. Cowan, Iowa State University Valentina Salotti, Iowa State University Discussants: Arnold Cowan, Iowa State University Martin Hibbeln, Technische Universität Braunschweig John Thornton, Kent State University 18 02/23/2012 2:00 PM–3:30 PM Location: Salon 825, 8th 34 Information and Stock Returns Ferdinand Mager, European Business School, Wiesbaden An Empirical Study of Stock and American Option Prices Diego Ronchetti, Universita della Svizzera Italiana Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures Hong Miao, Colorado State University Sanjay Ramchander, Colorado State University J. Kenton Zumwalt, Colorado State University The Persistence of Pricing Inefficiencies in the Stock Markets of the Eastern European EU Nations Dusan Mramor, University of Ljubljana James Foye, University of Ljubljana Marko Pahor, University of Ljubljana Discussants: Sanjay Ramchander, Colorado State University James Foye, University of Ljubljana George Woodward, University of Colorado at Colorado Springs 02/23/2012 2:00 PM–3:30 PM 35 Regulatory Issues Jianhua Zhang, Göteborg University Location: Cornet, 8th Equilibrium Effects of Liquidity Constraints Havva Özlem Dursun, Vienna Graduate School of Finance The Banking Crisis in the U.S.: How Effective Were U.S. Regulators? Michael Leibrock, Pace University Government Strength and Financial Reforms Francesco Di Comite, Catholic University of Louvain Thomas Lambert, Catholic University of Louvain Discussants: Thomas Lambert, Catholic University of Louvain Havva Dursun, Vienna Graduate School of Finance Joao Amaro de Matos, New University of Lisbon 19 02/23/2012 2:00 PM–3:30 PM 36 Retail Traders and Wine as an Alternative Investment Location: Bayside A, 4th Keith Gamble, DePaul University Is Wine a Premier CRU Investment? Brian M. Lucey, University of Dublin Liam Devine, University of Dublin Raise Your Glass: Wine Investment and the Financial Crisis Philippe Masset, University of Fribourg (Switzerland) Jean-Philippe Weisskopf, University of Fribourg (Switzerland) Local Trading Prior to Earnings Announcements Keith Jacks Gamble, DePaul University Thomas Berry, DePaul University Discussants: Jean-Philippe Weisskopf, University of Fribourg (Switzerland) Anand Jha, Texas A&M International University Brian Lucey, University of Dublin 02/23/2012 2:00 PM–3:30 PM 37 Mutual Fund Investment Location: Southdown, 4th Qiang Bu, Pennsylvania State University Harrisburg Exposing Management Characteristics in Mutual Fund Performance Qiang Bu, Pennsylvania State University Harrisburg Do Mutual Fund Managers Adjust NAV for Stale Prices? Vincent Gregoire, University of British Columbia Do Fund Managers Keep Their Promises?: The Case of Shari’ah Equity Funds Yunieta Nainggolan, Queensland University of Technology Peter Verhoeven, Queensland University of Technology Janice C. Y. How, Queensland University of Technology Discussants: Vincent Gregoire, University of British Columbia Yunieta Nainggolan, Queensland University of Technology Qiang Bu, Pennsylvania State University Harrisburg 20 02/23/2012 2:00 PM–3:30 PM 38 Corporate Finance I Maria Martinez Peria, World Bank Location: Salon 816, 8th Firm Risk and Social Performance Kais Bouslah, University of Quebec at Montreal Lawrence Kryzanowski, Concordia University, Quebec Bouchra Mzali, University of Quebec at Montreal Firm Stock Returns' Sensitivities to Crisis Shocks Maria Soledad Martinez Peria, World Bank Charles W. Calomiris, Columbia University Inessa Love, World Bank Investment and Environmental Regulation: Evidence on the Role of Cash Flow Julio Riutort, Pontificia Universidad Católica de Chile Evangelina A. Dardati, University of Texas at Austin Discussants: Maria Martinez Peria, World Bank Lisa Zhao, University of Missouri - Kansas City Oliver Levine, University of Wisconsin - Madison 02/23/2012 2:00 PM–3:30 PM 39 Corporate Liquidity Location: Gallier, 4th Filippo Ippolito, Universitat Pompeu Fabra Analysts and Corporate Liquidity Policy Chinghung (Henry) Chang, Arizona State University Customer-Supplier Relationships and Liquidity Management: The Joint Effects of Trade Credit and Bank Lines of Credit Jaideep Shenoy, Tulane University Ryan Williams, Georgia State University Corporate Liquidity Filippo Ippolito, Universitat Pompeu Fabra Ander Perez, Universitat Pompeu Fabra Discussants: Jaideep Shenoy, Tulane University Filippo Ippolito, Universitat Pompeu Fabra Ching-Hung Chang, Arizona State University 21 02/23/2012 2:00 PM–3:30 PM 40 Mergers and Acquisitions I Location: Evergreen, 4th Di Kang, University of Kentucky The Effect of Corporate Takeover on the Function of Internal Incentive Plan in Target Firms Lin Li, Hong Kong Polytechnic University Peter Cheng, Hong Kong Polytechnic University Wilson H.S. Tong, Hong Kong Polytechnic University Macro Corporate Governance and Price Sensitivity of Rivals at Acquisition Announcements Zhian Chen, University of New South Wales Donghui Li, University of New South Wales Zhengyuan Wang, University of New South Wales Steven X. Wei, Hong Kong Polytechnic University The Impact of Nonbank Lending on Mergers and Acquisitions Di Kang, University of Kentucky Donald J. Mullineaux, University of Kentucky Discussants: Donghui Li, University of New South Wales Di Kang, University of Kentucky Lin Li, Hong Kong Polytechnic University 02/23/2012 2:00 PM–3:30 PM Location: Oak Alley, 4th 41 Corporate Finance II Changing the Rules Again: Short Selling in Connection with Public Equity Offers Don M. Autore, Florida State University Dominique Gehy, Florida State University Does Social Commitment Alleviate Corporate Financial Constraints? Abdelmajid Hmaittane, University of Quebec at Montreal Lawrence Kryzanowski, Concordia University, Quebec Bouchra Mzali, University of Quebec at Montreal Discussants: TBA Marcus Braga-Alves, Marquette University 02/23/2012 3:45 PM–5:15 PM 42 PANEL SESSION: Islamic Finance Location: Cornet, 8th Kabir Hassan, University of New Orleans Kabir M. Hassan, University of New Orleans Saeed Bin Manfouz, Durham University Sabur Mollah, Stockholm University Karen Hunt Ahmed, DePaul University 22 02/23/2012 3:45 PM–5:15 PM 43 Default Risks and Models Location: Salon 816, 8th Leonard Kiefer, Federal Home Loan Mortgage Corporation A Reality Check for Credit Default Models Hua Kiefer, Government of the United States of America Leonard C. Kiefer, Federal Home Loan Mortgage Corporation What Do Equity Markets Tell Us About the Drivers of Bank Default Risk? Evidence from Emerging Markets Stefan Eichler, Dresden University of Technology Alexander Karmann, Dresden University of Technology Dominik Maltritz, Dresden University of Technology Karol Sobanski, Dresden University of Technology Loss Given Default of Corporate Bank Loans: Large Scale Evidence from Europe Laurence Denise Deborgies-Sanches, Erasmus University Rotterdam Lyubka Sokolova Discussants: Alexander Karmann, Dresden University of Technology Laurence Deborgies-Sanches, Erasmus University Rotterdam Hua Kiefer, Government of the USA - Risk Analysis Division 02/23/2012 3:45 PM–5:15 PM 44 Bank Mergers Thomas Kick, DeutscheBundesbank Location: Estherwood, 4th Taking a Bath While Receiving the Baton – An Empirical Analysis of CEO Behavior During Turnovers in Banks Sven Bornemann, University of Muenster Thomas K. Kick, Deutsche Bundesbank Andreas Pfingsten, University of Muenster Andrea Schertler, Leuphana University Returns of Financial Mergers: Evidence from Serial and Nonserial Acquirers Allissa Lee, Texas State University, San Marcos Systematic, Default and Systemic Risk Effects of International Bank Mergers – Empirical Evidence Gregor N. F. Weiss, University of Dortmund Sascha Neumann, University of Bochum Denefa Bostandzic, University of Bochum Discussants: Denefa Bostandzic, University of Bochum Thomas Kick, DeutscheBundesbank Allissa Lee, Texas State University, San Marcos 23 02/23/2012 3:45 PM–5:15 PM 45 Individual and Institutional Investors Location: Salon 817, 8th Emmanuel Morales-Camargo, Univ. of New Mexico Institutional Trading Behavior in the ETF Market Hsuan-Chi Chen, University of New Mexico Jen-Kai Ho, Yuan Ze University Christine W. Lai, Yuan Ze University Emmanuel Morales-Camargo, University of New Mexico Institutional Ownership, Retail Trading and Stock Return Comovement Si Cheng, National University of Singapore Stocks Repurchase and Sophistication of Individual Investors Camille Magron, University of Strasbourg Maxime Merli, EM Strasbourg Business School Discussants: Camille Magron, University of Strasbourg Emmanuel Morales-Camargo, University of New Mexico Si Cheng, National University of Singapore 02/23/2012 3:45 PM–5:15 PM 46 Emerging Stock Markets Location: Evergreen, 4th Prem Mathew, Oregon State University Price Discovery and Profitability: Analysis of Broker Activities in a Nascent Financial Market Michael Bowe, University of Manchester Adeola Deji-Olowe, University of Manchester Stuart Hyde, University of Manchester Margin Regulation and Informed Trading: Evidence from China Song Wang, University of Central Florida When-Issued Trading in the Indian IPO Market Raymond M. Brooks, Oregon State University Prem G. G. Mathew, Oregon State University J. Jimmy Yang, Oregon State University Discussants: Prem Mathew, Oregon State University Adeola Deji-Olowe, University of Manchester Song Wang, University of Central Florida 24 02/23/2012 3:45 PM–5:15 PM 47 Asset Allocation and Rebalancing Location: Salon 825, 8th Valentina Salotti, Iowa State University Testing Rebalancing Strategies for Stock-Bond Portfolios: Where is the Value Added of a Rebalancing Strategy? Hubert Dichtl Wolfgang Drobetz, University of Basel Martin Wambach, University of Hamburg Consuming Durable Goods When Stock Markets Jump: A Strategic Asset Allocation Approach Joao Amaro de Matos, New University of Lisbon Nuno Miguel Barateiro Silva, New University of Lisbon Hedge Funds and Optimal Asset Allocation: Bayesian Expectations, Time-Varying Investment Opportunities and Mean-Variance Spanning Wolfgang Bessler, University of Giessen Julian Holler, University of Giessen Philipp Kurmann, University of Giessen Discussants: Wolfgang Bessler, University of Giessen Valentina Salotti, Iowa State University Martin Wambach, University of Hamburg 02/23/2012 3:45 PM–5:15 PM 48 REITs, Volatility, and Shocks Location: Bayside BC, 4th Marcus Braga-Alves, Marquette University The Flash Crash: Effects on Shareholder Wealth and Market Quality Thomas Jason Boulton, Miami University of Ohio Marcus V. Braga-Alves, Marquette University Manoj Kulchania, Marquette University Conditional Volatility, Volume Shocks, and GARCH Effects Siamak Javadi, Oklahoma State University - Stillwater Taxable REITs Subsidiaries (TRS’s): The Long-Run Performance from REITs with TRS and Non-TRS Juan Carlos Cardona, University of Puerto Rico Discussants: Siamak Javadi, Oklahoma State University - Stillwater Juan Cardona, University of Puerto Rico Inna Khagleeva, University of Illinois at Chicago 25 02/23/2012 3:45 PM–5:15 PM 49 Extremes in Portfolio Choice Location: Bayside A, 4th David Edelman, University College Dublin Portfolio Choice and the Casual Investor David Edelman, University College Dublin Squandering Home Field Advantage? Financial Institutions’ Investing in Their Own Industries Aneel Keswani, City University London David Stolin, École Supérieure de Commerce de Toulouse Deep Value Investing and Unexplained Returns Jeffrey Oxman, University of Saint Thomas Sunil K. Mohanty, University of Saint Thomas Tobias Eric Carlisle Discussants: David Stolin, École Supérieure de Commerce de Toulouse Diego Ronchetti, Universita della Svizzera Italiana David Edelman, University College Dublin 02/23/2012 3:45 PM–5:15 PM 50 Firm Attributes, Dynamics and Incentive Contracts Location: Oakley, 4th Ali Ashraf, Univ. of New Orleans Firm-Level Attributes and Performance of Micro-Finance Institutions Ali Ashraf, University of New Orleans M. Kabir Hassan, University of New Orleans Optimal Contracts and Firm Dynamics with AK Technology Kyoung Jin Choi, University of Calgary Discussants: M. Hassan, University of New Orleans Kyoung Jin Choi, University of Calgary 02/23/2012 3:45 PM–5:15 PM 51 Financial Crises Jean Helwege, University of South Carolina Location: Salon 828, 8th Crises, Liquidity Shocks, and Fire Sales at Financial Institutions Nicole M. Boyson, Northeastern University Jean Helwege, University of South Carolina Jan Jindra, Menlo College Financial Crisis and Cross Border Too Big To Fail Perception Raquel F. Oliveira, Government of the Federative Republic of Brazil Rafael F. Schiozer, Getulio Vargas Foundation Lucas Ayres B. de C. Barros, Mackenzie Presbyterian University The Cross-Market Spillover of Economic Shocks through Multi-Market Banks Jose M. Berrospide, Federal Reserve Board Lamont K. Black, Government of the United States of America William R. Keeton, Federal Reserve Banks - Federal Reserve Bank of Kansas City Discussants: Rami Zeitun, University of Qatar Jean Helwege, University of South Carolina Rafael Schiozer, Getulio Vargas Foundation 26 02/23/2012 3:45 PM–5:15 PM 52 Bank Regulation and Market Discipline Location: Southdown, 4th Chester Spatt, Carnegie Mellon University What Do Depositors Know About Risk? Selcuk Caner, Bilkent University Suheyla Ozyildirim, Bilkent University Ayse Ece Ungan, Bilkent University The Effects of Bank Regulator Switching on Supervisory Ratings Marcelo Rezende, Federal Reserve Board Opacity, Credit Rating Shopping and Bias Chester S. Spatt, Carnegie Mellon University Francesco Sangiorgi, Stockholm School of Economics Discussants: Sean Pinder, University of Melbourne Selcuk Caner, Bilkent University Marcelo Rezende, Federal Reserve Board 02/23/2012 3:45 PM–5:15 PM 53 Liquidity, Growth and Value and Leverage Premium Location: Edgewood, 4th Kuan Xu, Dalhousie University Future Earnings Growth Volatility and the Value Premium Jamie Alcock, University of Cambridge Eva Maria Steiner, University of Cambridge Kelvin Jui Keng Tan, University of Queensland Governance and Liquidity in Asset Pricing Sascha Strobl, Florida International University Suchi Mishra, Florida International University Arun J. Prakash, Florida International University The Relative Leverage Premium Roberto Steri, Bocconi University Filippo Ippolito, Universitat Pompeu Fabra Claudio Tebaldi, Bocconi University Discussants: Sascha Strobl, Florida International University Roberto Steri, Bocconi University Kuan Xu, Dalhousie University 27 02/23/2012 3:45 PM–5:15 PM 54 Issues in Financial Crisis Location: Oak Alley, 4th Barbara Bliss, Florida State University Hedge or Speculation? Evidence of the Use of Derivatives by Brazilian Firms During the Financial Crisis Jose Luiz Rossi, Insper Institute of Education and Research Corporate Payout, Information Asymmetry, and the Financial Crisis Barbara A. Bliss, Florida State University Yingmei Cheng, Florida State University David J. Denis, University of Pittsburgh Baltic Stock Markets and the Financial Crisis of 2008-2009 Jussi Nikkinen, University of Vaasa Vanja Piljak, University of Vaasa Janne Jaakko Äijö, University of Vaasa Discussants: Vanja Piljak, University of Vaasa Jose Rossi, Insper Institute of Education and Research Barbara Bliss, Florida State University 02/23/2012 3:45 PM–5:15 PM 55 Factors in Value Creation for Corporations Location: Gallier, 4th Martin Szydlowski, Northwestern University Incentives, Project Choice and Dynamic Multitasking Martin Szydlowski, Northwestern University Liquidity as a Price Factor: Evidence from International Markets Thomas Chinan Chiang, Drexel University Dazhi Zheng, West Chester University of Pennsylvania Increasing Shareholder Value? A Study of Share Repurchases Dale W. R. Rosenthal, University of Illinois at Chicago Nitish Ranjan Sinha, University of Illinois at Chicago Discussants: Dazhi Zheng, West Chester University of Pennsylvania Martin Szydlowski, Northwestern University 28 02/24/2012 8:00 AM–10:00 AM 56 Earnings Management and Enterprise Risk Location: Oakley, 4th Sara Lundqvist, Lund University Corporate Governance Determinants of Enterprise Risk Management: Evidence from Scandinavia Naciye Sekerci, Lund University An Exploratory Study of Enterprise Risk Management’s Underlying Factors and Subsequent Weighting Sara Lundqvist, Lund University How Does Bank Monitoring Affect Earnings Management of the Borrowing Firm? Anand Jha, Texas A&M International University Discussants: Janko Gorter, Dutch Central Bank (DNB) Leonard Kiefer, Federal Home Loan Mortgage Corporation Michael Leibrock, Pace University 02/24/2012 8:00 AM–10:00 AM 57 Limit to Arbitrage and Market Transparency Location: Salon 816, 8th Stephen Easton, Newcastle University Investor Horizon and Limits of Arbitrage: Evidence from Private Equity Funds Jean-Noel Barrot, HEC Paris Limited Commitment in Financial Markets: Is Market Transparency Feasible and Desirable? Kei Kawakami, University of Melbourne Monitoring Style Drift: Evidence from Equity Funds Janice C. Y. How, Queensland University of Technology Meinanda Kurniawan, Queensland University of Technology Peter Verhoeven, Queensland University of Technology Limits to Arbitrage: Empirical Evidence Stephen Andrew Easton, Newcastle University Sean Pinder, University of Melbourne Katherine Uylangco, University of Newcastle (Australia) Discussants: Stephen Easton, Newcastle University Jean-Noel Barrot, HEC Paris Kei Kawakami, University of Melbourne Meinanda Kurniawan, Queensland University of Technology 29 02/24/2012 8:00 AM–10:00 AM 58 Financial Institutions and Compensation Location: Oak Alley, 4th Keke Song, Dalhousie University CEO Power, Equity Compensation and Bank Risk-Taking Tracy Xu, University of Denver William L. Buslepp, Texas Tech University Lisa Victoravich, University of Denver Hugh Grove, University of Denver Bank Moral Hazard, Default Spiral, and Optimal Entry Regulation Wei-Cheng Chen, Washington University Bank Monitoring and CEO Compensation Keke Song, Dalhousie University Board Characteristics and Risk-Taking in Banks: A US/European Comparison Isabelle Allemand, Burgundy School of Business Hugh Grove, University of Denver Lisa Victoravich, University of Denver Tracy Xu, University of Denver Discussants: Wei-Cheng Chen, Washington University Keke Song, Dalhousie University Tracy Xu, University of Denver Isabelle Pignatel, Euromed Management 02/24/2012 8:00 AM–10:00 AM 59 Real-Estate Finance Location: Salon 825, 8th Shuang Zhu, Louisiana State University, Baton Rouge Commercial Real Estate Loan Performance at Failed U.S. Banks Joseph Nichols, Federal Reserve Board and Andrew Felton, Federal Reserve Board Modeling Spatially Interdependent Mortgage Decisions Shuang Zhu, Louisiana State University, Baton Rouge R. Kelley Pace, Louisiana State University, Baton Rouge Real Estate and Alternative Asset Allocations of U.S. Firms' Defined Benefit Pension Plans Karen Eilers Lahey, University of Akron Aigbe Akhigbe, University of Akron Melinda L. Newman, University of Akron T. Leigh Anenson, University of Maryland The Role of Dual Pane Windows and Improvement Age in Explaining Residential Property Values Ramya Rajajagadeesan Aroul, University of Texas at Arlington J. Andrew Hansz, California State University, Fresno Discussants: Elijah Brewer, DePaul University Andrew Felton, Federal Reserve Board Shuang Zhu, Louisiana State University, Baton Rouge Karen Lahey, University of Akron 30 02/24/2012 8:00 AM–10:00 AM 60 Dimensions of Optimality in Decision-Making Location: Estherwood, 4th Nico Singer, University of Rostock Estimating Optimal Hedge Ratio and Hedge Effectiveness Via Fitting the Multivariate Skewed Distributions Wei-Han Liu, La Trobe University Safety-First Portfolio Optimization: Fixed Target Versus Benchmarking Nico Singer, University of Rostock Optimal Hedging Strategy for Risk Management on a Network Tianjiao Gao, Rensselaer Polytechnic Institute Nalan Gulpinar, University of Warwick Aparna Gupta, Rensselaer Polytechnic Institute Optimal Investment and Consumption under Weighted Average Wealth Constraint Xianzhe Chen, University of North Carolina at Charlotte Weidong Tian, University of North Carolina at Charlotte Discussants: Nico Singer, University of Rostock Tianjiao Gao, Rensselaer Polytechnic Institute Xianzhe Chen, University of North Carolina at Charlotte Wei-Han Liu, La Trobe University 02/24/2012 8:00 AM–10:00 AM 61 High Frequency Trading Location: Salon 817, 8th Emiliano Pagnotta, New York University The Effects of High Frequency Traders in a Simulated Market Thomas A. Hanson, Kent State University Price Discovery and Information Transmission Processes Among Asset Markets: An UltrahighFrequency Perspective Ferdinand Mager, European Business School Wiesbaden Roland Füss, European Business School Wiesbaden Lu Zhao, European Business School Wiesbaden An Empirical Analysis of Order Flow Prior to the Announcement of Major Negative Information Naoto Isaka, Sophia University Understanding Jumps in the High-Frequency VIX Inna Khagleeva, University of Illinois at Chicago Discussants: Ferdinand Mager, European Business School Wiesbaden Naoto Isaka, Sophia University Michael Wittry, University of North Carolina at Charlotte Zhiguang Wang, South Dakota State University 31 02/24/2012 8:00 AM–10:00 AM 62 Foreign Exchange Risk Location: Evergreen, 4th Janikan Supanvanij, Saint Cloud State University Understanding Firm-Specific Foreign Exchange Exposure: SEC Currency Risk Disclosures, and Extreme Value and Size Premiums Stephen P. Huffman, University of Wisconsin - Oshkosh Stephen D. Makar, University of Wisconsin - Oshkosh Does Inflation Targeting Matter for PPP? Jaebeom Kim, Oklahoma State University - Stillwater Is There Skill or Alpha in Currency Investing? Momtchil T. Pojarliev, Hathersage Capital Management LLC Richard M. Levich, New York University The Variance Decomposition of Currencies Janikan Supanvanij, Saint Cloud State University Discussants: Janikan Supanvanij, Saint Cloud State University Lloyd Blenman, University of North Carolina at Charlotte Jaebeom Kim, Oklahoma State University - Stillwater Richard Levich, New York University 02/24/2012 8:00 AM–10:00 AM 63 Dynamic Models and Shocks Location: Gallier, 4th Sascha Strobl, Florida International University Capital Asset Pricing with a Stochastic Horizon Yuzhao Zhang, Temple University Michael J. Brennan, University of California, Los Angeles Monetary Policy Shocks and Stock Returns: Identification Through Unholy Trinity Ali K. Ozdagli, Federal Reserve Banks - Federal Reserve Bank of Boston Yifan Yu, Federal Reserve Banks - Federal Reserve Bank of Boston Time Horizon Trading and the Idiosyncratic Risk Puzzle Juliana Malagon, Universidad Carlos III de Madrid David Moreno, Universidad Carlos III de Madrid Rosa Rodríguez, Universidad Carlos III de Madrid Discussants: Juliana Malagon, Universidad Carlos III de Madrid Yuzhao Zhang, Temple University Ali Ozdagli, Federal Reserve Bank of Boston 32 02/24/2012 8:00 AM–10:00 AM 64 Special Topics in Education and Efficiencies Location: Salon 824, 8th Can Chen, Lehigh University Optimal Timing and Equilibrium Pricing for IPOs Zhuming Chen, Sun Yat Sen University Can Chen, Lehigh University Is Investment Inefficiency Caused by Financial Constraints or Agency Costs? Evidence from Chinese Firms Junhong Yang, Durham Business School Alessandra Guariglia, University of Nottingham Effective and Efficient Use of Excel in Teaching Financial Ratios and Cash Flows Mark Tengesdal, Texas Womans University Effective and Efficient Use of Excel to Create Personal Financial Statements in the Classroom Mark Tengesdal, Texas Womans University Discussants: Junhong Yang, Durham Business School Mark Tengesdal, Texas Womans University Can Chen, Lehigh University Thomas Hanson, Kent State University 02/24/2012 8:00 AM–10:00 AM 65 Short Selling, Insider Trading, and Money Laundering Location: Edgewood, 4th Pankaj Jain, University of Memphis Asymmetric Revisions to Primary and Secondary Shares in Seasoned Equity Offerings Kenneth Roskelley, Mississippi State University Sinan Gokkaya, Mississippi State University A Comparative Analysis of Short Selling Restrictions Chinmay Jain, University of Memphis Pankaj K. Jain, University of Memphis Thomas H. McInish, University of Memphis Gravity Models of Trade-Based Money Laundering Joras Ferwerda, University of Utrecht Mark Kattenberg, University of Utrecht Han-Hsin Chang Chang, University of Utrecht Brigitte Unger, University of Utrecht Tjalling C. Koopmans Research Institute Loek F.M. Groot, University of Utrecht Jacob Antoon Bikker, Bank of the Netherlands Registered Insider Sales and Long-Run Performance of New Security Issues Sinan Gokkaya, Mississippi State University Michael J. Highfield, Mississippi State University Discussants: Pankaj Jain, University of Memphis Joras Ferwerda, University of Utrecht Sinan Gokkaya, Mississippi State University Kenneth Roskelley, Mississippi State University 33 02/24/2012 8:00 AM–10:00 AM 66 Intraday Data and Market Fragmentation Location: Salon 828, 8th Rico von Wyss, University of Saint Gallen What’s Not There: The Odd-Lot Bias in TAQ Data Maureen O'Hara, Cornell University Chen Yao, University of Illinois at Urbana-Champaign Mao Ye, University of Illinois at Urbana-Champaign Fragmentation in European Equity Markets and Market Quality - Evidence from the Analysis of TradeThroughs Alexander Kohler, University of Saint Gallen Rico von Wyss, University of Saint Gallen Intraday Trading Patterns in Fragmented Markets – A Post MiFID Analysis Ulli Friedrich Paul Spankowski, University of Hohenheim Martin Wagener, Karlsruhe Institute of Technology Illuminating in the Dark: The Utility of 'NSDQ' Anonymity Feature on the NASDAQ Arze Karam, Queen's University Belfast Discussants: Andrea Beltratti, Bocconi University Ulli Spankowski, University of Hohenheim Rico von Wyss, University of Saint Gallen Chen Yao, University of Illinois at Urbana-Champaign 02/24/2012 8:00 AM–10:00 AM 67 Hedge Fund Investment Walter Neely, Millsaps College Location: Bayside BC, 4th A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets Pablo Fernandez, University of Navarra Javier Aguirreamalloa, University of Navarra Luis Corres Avendaño, University of Navarra Mutual Alternatives to Hedge Funds: Market Neutral and Long/Short Funds John Paul Broussard, Rutgers Business School - Camden Walter Neely, Millsaps College Which Hedge Fund Managers Deliver in a Crisis? Assessing Performance When Returns are Skewed Andrea J. Heuson, University of Miami Discussants: Walter Neely, Millsaps College Li Cai, Illinois Institute of Technology Rustin Yerkes, University of Alabama 34 02/24/2012 8:00 AM–10:00 AM 68 Financial Distress Moshe Cohen, Columbia University Location: Cornet, 8th The Effects of Increasing Lending to Constrained Firms During a Crisis: Evidence from an Accounting Based Shock to Debt Capacity Moshe Cohen, Columbia University Sharon P. Katz, Columbia Business School Gil Sadka, Columbia Business School The Risk Effects of Acquiring Distressed Firms Evy Bruyland, Ghent University Wouter De Maeseneire, Vlerick Leuven Gent Management School Financial Distress: Lifecyle and Corporate Restructuring SzeKee Koh, University of Western Australia Lele Dai, University of Western Australia Millicent Chang, University of Western Australia Building Legal Indexes to Explain Recovery Rates: An Analysis of the French and UK Bankruptcy Codes Régis Blazy, University of Strasbourg Bertrand Chopard, French National Center for Scientific Research Nirjhar Nigam, ESSEC Business School Discussants: Evy Bruyland, Ghent University SzeKee Koh, University of Western Australia Nirjhar Nigam, ESSEC Business School Al Goss, Ryerson University 02/24/2012 8:00 AM–10:00 AM 69 Term Structure Location: Southdown, 4th Kees Bouwman, Erasmus University Rotterdam Durable Goods, Inflation Risk and Equilibrium Term Structure Wenyu Wang, University of Wisconsin - Madison Bjorn Eraker, University of Wisconsin - Madison Ivan Shaliastovich, University of Pennsylvania The Term Structure of Interest Rates and Macro-Portfolio Returns Paul A. Bekker, University of Groningen Kees E. Bouwman, Erasmus University Rotterdam Fisher Equation Revisited – Nominal Rate of Return, Real Rate of Return, Inflation, and Capital Maintenance Daniel Kiechle, University of Hohenheim Niklas Lampenius, University of Hohenheim Linear Term Structure Models and the Forward Premium Anaomaly Ting Ting Huang, Alfred University Discussants: Leonard MacLean, Dalhousie University Wenyu Wang, University of Wisconsin - Madison Kees Bouwman, Erasmus University Rotterdam Dale Prondzinski, Davenport University 35 02/24/2012 8:00 AM–10:00 AM 70 Issues with Mean-Variance Analysis Location: Bayside A, 4th Doriana Ruffino, University of Minnesota Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis Fabio Maccheroni, Bocconi University Massimo Marinacci, University of Turin Doriana Ruffino, University of Minnesota Estimation Errors and Securities Grouping in Mean-Variance Optimization Irina Murtazashvili, University of Pittsburgh Nadezhda Vozlyublennaia, Texas Tech University Does Behavioral Portfolio Theory Support Markowitz Theory? Evidence from French Data Marie Pfiffelmann, Pôle Européen de Gestion et d'Economie Olga Bourachnikova, University of Strasbourg Modified Beta and Cross-Sectional Stock Returns Steven A. Dennis, East Tennessee State University Pradosh Simlai, University of North Dakota William Steven Smith, University of North Dakota Discussants: Irina Murtazashvili, University of Pittsburgh Marie Pfiffelmann, Pôle Européen de Gestion et d'Economie Steven Dennis, East Tennessee State University Jun Yuan, Dalhousie University 02/24/2012 10:30 AM–12:00 PM 71 Mergers and Acquisitions II Location: Oakley, 4th Qingqing Wu, Arizona State University Information Conduit or Agency Cost: Top Management and Director Interlock between Target and Acquirer Qingqing Wu, Arizona State University Bidder Hubris and Founder Targets Nandu J. Nagarajan, University of Pittsburgh Frederik P. Schlingemann, University of Pittsburgh Marieke van der Poel, Erasmus University Rotterdam Mehmet F. Yalin, University of Pittsburgh The Anatomy of Reverse Mergers: Why Foreign Firms Target the U.S. Market? Khaled Abdou, Pennsylvania State University Ujjal Chatterjee, University of Wisconsin - Milwaukee Sudip Ghosh, Pennsylvania State University Discussants: Mehmet Yalin, University of Pittsburgh Khaled Abdou, Pennsylvania State University Qingqing Wu, Arizona State University 36 02/24/2012 10:30 AM–12:00 PM 72 Trading Behavior Location: Edgewood, 4th Abolhassan Jalilvand, Loyola University of Chicago Who Plays the Lottery? Findings from New Jersey Lottery Sales Sukhun Lee, Loyola University of Chicago Ki C. Han, Suffolk University David Y. Suk, Rider University The News Impact on Institutions and Individuals around the Earnings Announcement Yang-Cheng Lu, Ming Chuan University Yu-Chen Wei, National Kaohsiung First University of Science & Technology Investors’ Reaction to Sharp Price Changes in GCC Markets Rasoul Rezvanian, Northeastern Illinois University Rima Turk Ariss, Lebanese American University Seyed M. Mehdian, University of Michigan at Flint Discussants: Yu-Chen Wei, National Kaohsiung First University of Science & Technology Rand Kwong Yew Low, University of Queensland Abolhassan Jalilvand, Loyola University of Chicago 02/24/2012 10:30 AM–12:00 PM 73 Credit Ratings and Managerial Stability Location: Southdown, 4th Kelly Cai, University of Michigan at Dearborn Do Bondholders Care About Managerial Stability? Evidence from the Financial Services Industry Wei Du, Louisiana State University, Baton Rouge Maya Waisman, Fordham University Haizhi Wang, Illinois Institute of Technology Mingming Zhou, University of Colorado at Colorado Springs Credit Ratings Accuracy with Competition, Reputation, and Analyst Incentives Patrick Schorno, University of North Carolina at Charlotte Michael Wittry, University of North Carolina at Charlotte Effect of Being Fallen Angels on Bond Ratings and Yields Kelly Nianyun Cai, University of Michigan at Dearborn Discussants: Kelly Cai, University of Michigan at Dearborn Wei Du, Louisiana State University, Baton Rouge Patrick Schorno, University of North Carolina at Charlotte 37 02/24/2012 10:30 AM–12:00 PM 74 Privatization and Venture Capital Location: Salon 824, 8th Lisa Zhao, University of Missouri - Kansas City The Role of Venture Capital in Financial Decision Making Andy Heughebaert, Ghent University Tom R. Vanacker, Ghent University The Dark Side of Independent Venture Capitalists: Evidence from Japan Song Getsu Konari Uchida, Kyushu University Mamoru Matsumoto, University of Kitakyushu The Other Side of Privatization: Acquirer Performance Arnold R. Cowan, Iowa State University Ginka Borisova, Iowa State University Discussants: Konari Uchida, Kyushu University Naoki Watanabel, Toyo University Tom Vanacker, Ghent University 02/24/2012 10:30 AM–12:00 PM 75 Anomalies Sanjay Ramchander, Colorado State University Location: Salon 828, 8th Where Do Informed Traders Trade? Trading Around News on Dow 30 Options Nitish Ranjan Sinha, University of Illinois at Chicago Wei Dong, Citigroup, Inc. Asset Pricing Anomalies and Macroeconomic Risk: Evidence from Australia Paul Docherty, University of Newcastle (Australia) H. Chan, University of Melbourne Stephen Andrew Easton, Newcastle University The Intricate Relation between Return, Market Value and Past Performance of Common Stocks in the United States 1926-2006 Glenn N. Pettengill, Grand Valley State University Werner F.M. DeBondt, DePaul University Jungshik Hur, Louisiana Tech University Vivek Singh, University of Michigan at Dearborn Discussants: Paul Docherty, University of Newcastle (Australia) Glenn N. Pettengill, Grand Valley State University Clas Wihlborg, Chapman University 38 02/24/2012 10:30 AM–12:00 PM 76 Information and Trading Location: Salon 825, 8th Gordon Alexander, University of Minnesota Are Predictive and Reactive Short Sellers Similarly Informed About Earnings Announcements? Gordon J. Alexander, University of Minnesota Mark A. Peterson, Southern Illinois University at Carbondale Xiaoxin Wang Beardsley, Southern Illinois University at Carbondale The Value of Private Information In Investment Research: Do Company Site Visits Affect The Trading Patterns and Performance of Professional Investors? Lorne N. Switzer, Concordia University, Quebec Mariane Keushgerian, Concordia University, Quebec The Delta- and Vega-Related Information Content of Trades in Stock and Option Markets Thomas Rourke, Duquesne University Discussants: Lorne Switzer, Concordia University, Quebec Thomas Rourke, Duquesne University Gordon Alexander, University of Minnesota - Twin Cities - 02/24/2012 10:30 AM–12:00 PM 77 Household Financing and Investments Location: Bayside A, 4th Chester Spatt, Carnegie Mellon University Household Wealth and Entrepreneurship: Is There a Link? Silvia Magri, Bank of Italy U.S. Consumers' Demand for Cash in the Era of Electronic Payments Tamas Briglevics, Federal Reserve Banks - Federal Reserve Bank of Boston Scott D. Schuh, Federal Reserve Banks - Federal Reserve Bank of Boston Retirement Investing: Analyzing the 'Roth' Conversion and Re-Characterization Options Chester S. Spatt, Carnegie Mellon University Robert M. Dammon, Carnegie Mellon University Harold H. Zhang, University of Texas at Dallas Discussants: Tamas Briglevics, Boston College Chester Spatt, Carnegie Mellon University Silvia Magri, Bank of Italy 39 02/24/2012 10:30 AM–12:00 PM 78 Banking in Emerging Markets Location: Cornet, 8th Richard Saito, Getulio Vargas Foundation The Effect of Liberalization on Banking Efficiency: Evidence from the Five Largest Banks in Mexico Violeta Diaz, New Mexico State University How Do Capital Buffers Respond to Basel? An Empirical Analysis of the Brazilian Banking System João André Pereira, Central Bank of Brazil Richard Saito, Getulio Vargas Foundation Discussants: Richard Saito, Getulio Vargas Foundation Violeta Diaz, New Mexico State University 02/24/2012 10:30 AM–12:00 PM Location: Salon 817, 8th 79 High Frequency Trading and Microstructure Issues Robert Daigler, Florida Internat. Univ. Sunshine Trading: Flashes of Trading Intent at the NASDAQ Johannes Atle Skjeltorp, Central Bank of Norway Elvira Sojli, Erasmus University Rotterdam Wing Wah Tham, Erasmus University Rotterdam Intraday Bid-Ask Spread Behavior in Volatility Futures Markets Olesya Lobanova, Florida International University Alexandre Aidov, Florida International University Suchi Mishra, Florida International University Robert T. Daigler, Florida International University Discussants: Robert Daigler, Florida International University Elvira Sojli, Erasmus University Rotterdam 02/24/2012 10:30 AM–12:00 PM 80 Ownership Structure and Discounts/Premiums Location: Estherwood, 4th Vishaal Baulkaran, Wilfrid Laurier Univ. To Extract or Not to Extract: An Examination of the Dual Class Discount, and the Channels of Extraction of Private Benefits Vishaal Baulkaran, Wilfrid Laurier University Ben Amoako-Adu, Wilfrid Laurier University Brian F. Smith, Wilfrid Laurier University What Causes the Concentration Discount? Evidence from Brazilian Stock Markets Rogerio Mazali, Tulane University Corporate Governance and the Diversification Discount: The Implications of the Sarbanes-Oxley Act Anwar S. Boumosleh, Lebanese American University Brandon N. Cline, Mississippi State University Fawzi Jaber Hyder, Lebanese American University Adam S. Yore, Northern Illinois University Discussants: Rogerio Mazali, Tulane University Fawzi Jaber Hyder, Lebanese American University Vishaal Baulkaran, Wilfrid Laurier University 40 02/24/2012 10:30 AM–12:00 PM 81 Conditional Volatility Roberto Steri, Bocconi University Location: Salon 816, 8th Conditional Moments of the Distribution of Abnormal Returns, the Cross-Section of Stock Returns, and Monetary Policy Marc William Simpson, Northern Illinois University Axel Grossmann, Radford University Volatility Term Structure and the Cross-Section of Option Returns Aurelio Vasquez, Instituto Tecnológico Autónomo de México Did the Returns and Volatilities in BRIC Countries Follow Long Memory During Global Crisis? Did the Reaction Time Vary Across BRIC Countries During Global Crisis? Evidence from ARFIMA-FIGARCH Sabur Mollah, Stockholm University Amir Kheirollah, Stockholm University Shahiduzzaman Quoreshi, Swedish Institute for Growth Policy Studies Discussants: Aurelio Vasquez, Instituto Tecnológico Autónomo de México Junbo Wang, University of Southern California Marc Simpson, Northern Illinois University 02/24/2012 10:30 AM–12:00 PM Location: Evergreen, 4th 82 Corporate Financing Decisions Jeffrey Oxman, University of St. Thomas, St. Paul/Minneapolis The Effects of LBO Events on Industry Rivals Jeffrey Oxman, University of Saint Thomas, Saint Paul/Minneapolis Yildiray Yildirim, Syracuse University What Finances R&D? R&D, Capital Investment, and Finance Zhong Zhuang, University of Wisconsin - Madison The Determinants of Corporate Debt Mix Tao-Hsien Dolly King, University of North Carolina at Charlotte Kenneth Khang, Idaho State University Hung Viet Nguyen, University of North Carolina at Charlotte Discussants: Zhong Zhuang, University of Wisconsin - Madison Hung Nguyen, University of North Carolina at Charlotte Jeffrey Oxman, University of Saint Thomas, Saint Paul/Minneapolis 41 02/24/2012 10:30 AM–12:00 PM 83 Risk and Returns Location: Bayside BC, 4th Adam Schmitz, South Dakota State University Risk Sharing, Costly Participation, and Monthly Returns Terrence Hendershott, University of California, Berkeley Sunny X. LI, VU University Amsterdam Albert J. Menkveld, VU University Amsterdam Mark S. Seasholes, Hong Kong University of Science & Technology Operational Risk, Financial Distress Risk and Equity Returns Ramya Rajajagadeesan Aroul, University of Texas at Arlington Mishuk Chowdhury, University of Texas at Arlington Peggy E. Swanson, University of Texas at Arlington Multivariate GARCH Analysis of Fannie Mae, Freddie Mac, and American International Group: Did the Short-Selling Ban Reduce Their Systemic Risk? Carlos Ulibarri, New Mexico Institute of Mining and Technology Discussants: Keke Song, Dalhousie University Carlos Ulibarri, New Mexico Institute of Mining and Technology Xiaoyue Li, VU University Amsterdam 02/24/2012 10:30 AM–12:00 PM 84 Cash Holdings Rahman Khokhar, McMaster University Location: Oak Alley, 4th Firm Size, Information Asymmetry and Window Dressing in Cash Holdings: Evidence from Quarterly Financial Statements Rahman Khokhar, McMaster University The Takeover Market and Corporate Cash Holdings Douglas O. Cook, University of Alabama Hongchao Zeng, University of Alabama Investor Protection and Cash Holding: Evidence from U.S. Cross-Listing Ying Huang, University of Memphis Susan Elkinawy, Loyola Marymount University Pankaj K. Jain, University of Memphis Discussants: Hongchao Zeng, University of Alabama Ying Huang, University of Memphis Rahman Khokhar, McMaster University 42 02/24/2012 10:30 AM–12:00 PM 85 Corporate Governance I Zhi Li, Tulane University Location: Gallier, 4th Is Small and Independent Board a Better Board? An Example of High-Tech Industries Hui Liang James, Southeastern Louisiana University Top Management Compensation Incentives in Family Firms Zhi Li, Tulane University Harley E. Ryan Jr., Georgia State University Lingling Wang, Tulane University The Market for Independent Directors Lei Chen, Maastricht University Frank Moers, Maastricht University Discussants: Zhi Li, Tulane University Lei Chen, Maastricht University Hui James, Southeastern Louisiana University 02/24/2012 2:00 PM–3:30 PM 86 Corporate Governance II Al Goss, Ryerson University Location: Oakley, 4th Corporate Social Responsibility and Idiosyncratic Risk Allen Goss, Ryerson University Political Connections and Agency Conflicts: The Roles of Owner and Manager Political Influence on Executive Compensation Shujun Ding, University of Ottawa Chunxin Jia, Peking University Craig Wilson, University of Saskatchewan Zhenyu Wu, University of Manitoba Corporate Governance, Product Market Competition, and the Cost of Debt Financing Teodora Paligorova, Government of Canada - Bank of Canada Jun Yang, Government of Canada - Bank of Canada Discussants: Jun Yang, Government of Canada - Bank of Canada Jongsub Lee, University of Florida Craig Wilson, University of Saskatchewan 02/24/2012 2:00 PM–3:30 PM Location: Bayside A, 4th 87 PANEL SESSION: Current Issues in Financial Regulation: Views from the Shadow Financial Regulatory Committee George Kaufman, Loyola University of Chicago George G. Kaufman, Loyola University of Chicago Edward J. Kane, Boston College Chester S. Spatt, Carnegie Mellon University 43 02/24/2012 2:00 PM–3:30 PM 88 Measuring Investor Bias Location: Salon 825, 8th Simon Hayley, City University London Measuring Investors' Historical Returns: Hindsight Bias in Dollar-Weighted Returns Simon Hayley, City University London Informational Herding by Institutional Investors: Evidence from Analyst Recommendations Jonathan Clarke, Georgia Institute of Technology Chayawat Ornthanalai, Georgia Institute of Technology Ya Tang, McGill University Price Efficiency and Noise Trading: Evidence from the ‘Investment Dartboard’ Column Natural Experiment Jayant R. Kale, Georgia State University Yee Cheng Loon, Binghamton University Discussants: Chayawat Ornthanalai, Georgia Institute of Technology Yee Cheng Loon, Binghamton University Simon Hayley, City University London 02/24/2012 2:00 PM–3:30 PM 89 Trading Strategies Location: Cornet, 8th Jang Hyung Cho, San Jose State University Trading Strategy and Behavior of Price in Futures Markets Jang Hyung Cho, San Jose State University Robert T. Daigler, Florida International University Optimal Consumption and Portfolio Choice For Long-Horizon Investors with Nontradable Labor Income When Asset Returns are Predictable Hui-Ju Tsai, Washington College Yangru Wu, Rutgers University Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability Dušan Isakov, University of Fribourg (Switzerland) Didier Marti, University of Fribourg (Switzerland) Discussants: Hui-Ju Tsai, Washington College Dušan Isakov, University of Fribourg (Switzerland) Jang Hyung Cho, San Jose State University 44 02/24/2012 2:00 PM–3:30 PM 90 Commodities Adam Schmitz, South Dakota State University Location: Estherwood, 4th A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis Adam Schmitz, South Dakota State University Zhiguang Wang, South Dakota State University Jung-Han Kimn, South Dakota State University Risk Premium – The Case of Unrealized Expectations in the Natural Gas Markets Thomas Kremser, Vienna University of Economics and Business Administration Margarethe Rammerstorfer, Vienna University of Economics and Business Administration Discussants: Leonard MacLean, Dalhousie University Adam Schmitz, South Dakota State University Margarethe Rammerstorfer, Vienna University of Economics and Business 02/24/2012 2:00 PM–3:30 PM 91 Financing Issues I Location: Edgewood, 4th Gary Kelly, University of Southern Mississippi Post-Entry Struggle for Life and Pre-Exit Shadow of Death from a Financial Perspective Kim P. Huynh, Government of Canada - Bank of Canada Robert J. Petrunia, Lakehead University Debt Specialization Filippo Ippolito, Universitat Pompeu Fabra Kai Li, University of British Columbia Paolo Colla, Bocconi University The Use of Supplier Financing and Shareholder Wealth G. W. Kelly, University of Southern Mississippi Discussants: Gary Kelly, University of Southern Mississippi Kim Huynh, Government of Canada - Bank of Canada Rustin Yerkes, University of Alabama 45 02/24/2012 2:00 PM–3:30 PM 92 Information and Banking Location: Southdown, 4th John Thornton, Kent State University Manipulation and Information Acquisition António M.R.G. Barbosa, Instituto Superior de Ciências do Trabalho e da Empresa Can Statistics Based Early Warning Systems Detect Problem Banks Before Markets? Randall K. Kimmel, Thompson Rivers University John Harris Thornton Jr., Kent State University Do World Bank Group's Investments in Developing Countries' Domestic Financial Sectors Improve Access to Finance for Small and Medium-Size Enterprises? Mathieu Verougstraete, Université Libre de Bruxelles Laurent Gheeraert, Université Libre de Bruxelles Discussants: Laurent Gheeraert, Université Libre de Bruxelles Antonio Barbosa, Instituto Superior de Ciências do Trabalho e da Empresa Mohammed Bouaddi, HEC Montreal 02/24/2012 2:00 PM–3:30 PM 93 Corporate Corruption, Credit Markets, and Default Location: Oak Alley, 4th Naoto Isaka, Sophia University Skewed Credit Markets Stephan Süss, University of Saint Gallen From the Equity Market to the CDs Market: In Search of Expected Default Frequency Signals Xiaoling Pu, Kent State University Tzveta Vateva, Kent State University Financial Implications of Corporate Corruption and Corrupt Environment Pankaj K. Jain, University of Memphis Emre Kuvvet, University of Memphis Michael S. Pagano, Villanova University Discussants: Benton Gup, University of Alabama Tzveta Vateva, Kent State University 46 02/24/2012 2:00 PM–3:30 PM 94 Corporate Governance and Bank Risk Location: Gallier, 4th Elijah Brewer III, DePaul University Do Financial Conglomerates Influence Their Client Firm Stock Prices? Jiun-Lin Chen, University of Adelaide Wei-Ling Song, Louisiana State University, Baton Rouge Investment Opportunity Set, Product Mix, and the Relationship between Bank CEO Compensation and Risk-Taking Elijah Brewer III, DePaul University William C. Hunter, University of Iowa William E. Jackson III, University of Alabama The Good - or the Bad and the Ugly? Corporate Governance and Risk Taking in Banks Christian Rauch, Goethe University Frankfurt Discussants: Christian Rauch, Goethe University Frankfurt Jiun-Lin Chen, University of Adelaide Elijah Brewer, DePaul University 02/24/2012 2:00 PM–3:30 PM 95 Cross-Country Evidence in Banking Location: Evergreen, 4th Andrea Beltratti, Bocconi University Sovereign Credit Risk, Banks’ Government Support, and Bank Stock Returns Around the World Ricardo Correa, Federal Reserve Board Kuan-Hui Lee, Seoul National University Horacio Sapriza, Federal Reserve Board Gustavo Suarez, Federal Reserve Board International Diversification in Banking Iman van Lelyveld, Bank of the Netherlands Is M&A Different During a Crisis? Evidence from the European Banking Sector Andrea Beltratti, Bocconi University Giovanna Paladino, Intesa SanPaolo Spa Discussants: Giovanna Paladino, Intesa SanPaolo Spa Ricardo Correa, Federal Reserve Board Iman Lelyveld, Bank of the Netherlands 47 02/24/2012 2:00 PM–3:30 PM 96 Uncertainty and the Macroeconomy Location: Salon 816, 8th Tatjana-Xenia Puhan, University of Zurich Time-Varying Asset Valuations and Macroeconomic Uncertainty: The Role of Inflation, Monetary Policy and Macroeconomic Conditions Tatjana-Xenia Puhan, University of Zurich Stock Market Liquidity, Aggregate Analyst Forecast Errors, and the Economy Ji-Chai Lin, Louisiana State University, Baton Rouge Ping-Wen Sun, Louisiana State University, Baton Rouge Role of Analysts: Following Momentum or Creating Momentum? Keming Li, University of Texas at Arlington Mohammad Riaz Uddin, University of Texas at Arlington Discussants: Ping-Wen Sun, Louisiana State University, Baton Rouge Keming Li, University of Texas at Arlington Beverly Frickel, University of Nebraska at Kearney 02/24/2012 2:00 PM–3:30 PM 97 Issues in Performance Measurement Location: Salon 817, 8th Peter Scholz, Frankfurt School of Finance & Mgmt Size Matters! How Position Sizing Drives the Performance of Technical Timing Strategies Peter Scholz, Frankfurt School of Finance & Management A 10-30 Rule: An Investigation of Hedge Fund Performance Fees via Behavioral Finance Xue Dong He, Columbia University Steven G. Kou, Columbia University What Explains Mutual Fund Performance Persistence? International Evidence Aneel Keswani, City University London Miguel A. Ferreira, New University of Lisbon Antonio F. Miguel, Instituto Superior de Ciências do Trabalho e da Empresa Sofia Brito Ramos, Instituto Superior de Ciências do Trabalho e da Empresa Discussants: Xue Dong He, Columbia University Hugues Pirotte, Université Libre de Bruxelles Peter Scholz, Frankfurt School of Finance and Management 48 02/24/2012 2:00 PM–3:30 PM 98 Family Firms Location: Bayside BC, 4th Roberto Pinheiro, University of Colorado at Boulder Family Firms and Financial Performance: The Cost of Growing Carlos Pombo, Universidad de los Andes, Colombia Maximiliano Gonzalez, Universidad de los Andes, Colombia Alexander Guzmán, Universidad de los Andes, Colombia María Andrea Trujillo, Universidad de los Andes, Colombia Family Firms and Auditor Choice: A Focus on IPO Firms Chun Keung (Stan) Hoi, Rochester Institute of Technology Ashok Robin, Rochester Institute of Technology Mithu Dey, Rochester Institute of Technology Inherited Quality and Control: Endogenous Determination of Heir's Ability Roberto B. Pinheiro, University of Colorado at Boulder Chris Yung, University of Virginia Discussants: Roberto Pinheiro, University of Colorado at Boulder Carlos Pombo, Universidad de los Andes, Colombia Chun Keung (Stan) Hoi, Rochester Institute of Technology 02/24/2012 2:00 PM–3:30 PM 99 Stock Returns and Real Prices Location: Salon 828, 8th Guo Kai, University of Pittsburgh at Johnstown Trends in Commodity Real Prices: How Real is Real? Viviana Fernandez, University of Adolfo Ibanez Real Aggregate Activity and Stock Returns Karen Craft Denning, Fairleigh Dickinson University Ding Du, Northern Arizona University Xiaobing Zhao, Northern Arizona University Explaining Stock Returns with Intraday Jumps Diego Amaya, HEC Montreal Aurelio Vasquez, Instituto Tecnológico Autónomo de México Discussants: Ding Du, Northern Arizona University Ike Mathur, Southern Illinois University at Carbondale Viviana Fernandez, University of Adolfo Ibanez 49 02/24/2012 4:00 PM–5:30 PM 100 Investing in Commodities Viet Do, Monash University Location: Evergreen, 4th Factors Affecting the Birth and Fund Flows of CTAS Viet Minh Do, Monash University Robert W. Faff, University of Queensland Paul Lajbcygier, Monash University Madhu Veeraraghavan, Monash University Oil Asymmetric Effects and Oil Stocks: A Panel Analysis Sofia Brito Ramos, Instituto Superior de Ciências do Trabalho e da Empresa Helena Veiga, Universidad Carlos III de Madrid Chih-Wei Wang, Universidad Carlos III de Madrid The Determinants of Extreme Commodity Prices Karlygash Kuralbayeva, University of Oxford Samuel W. Malone, Universidad de los Andes, Colombia Discussants: Sofia Ramos, Instituto Superior de Ciências do Trabalho e da Empresa Samuel Malone, Universidad de los Andes, Colombia Viet Do, Monash University 02/24/2012 4:00 PM–5:30 PM Location: Salon 816, 8th 101 International Portfolios and Asymmetric Information Nathan Mauck, Univ. of MO-KC Information Acquisition, International Under-Diversification and Portfolio Performance of Institutional Investors Nicole Y. Choi, University of Wyoming Mark A. Fedenia, University of Wisconsin - Madison Hilla Skiba, University of Wyoming Tatyana Sokolyk, Brock University Information Immobility, Industry Concentration, and Institutional Investors’ Performance Mark A. Fedenia, University of Wisconsin - Madison Sherrill Shaffer, University of Wyoming Hilla Skiba, University of Wyoming Information Environment and Earnings Management of Dual-Class Firms: A Cross-Country Analysis Ting Li, University of Wisconsin - Milwaukee Discussants: Ting Li, University of Wisconsin - Milwaukee Nathan Mauck, University of Missouri at Kansas City Nicole Choi, University of Wyoming 50 02/24/2012 4:00 PM–5:30 PM Location: Salon 825, 8th 102 Performance of Funds of Hedge Funds Glen Larsen, Indiana University An Optimization Strategy for Enhancing the Performance of Fund of Funds Portfolios Glen A. Larsen Jr., Indiana University Bruce G. Resnick, Wake Forest University Leveraged Exchange-Traded Funds: Their Pricing and Tracking Ability Narat Charupat, McMaster University Peter Miu, McMaster University Assessing the Performance of Funds of Hedge Funds Benoit Dewaele, Université Libre de Bruxelles Hugues Pirotte, Université Libre de Bruxelles Nils Tuchschmid, Geneva School of Business Administration Erik Wallerstein, Geneva School of Business Administration Discussants: Narat Charupat, McMaster University Benoit Dewaele, Université Libre de Bruxelles Glen Larsen, Indiana University Purdue University Indianapolis 02/24/2012 4:00 PM–5:30 PM 103 Issues in Risk Management Location: Estherwood, 4th Abolhassan Jalilvand, Loyola University of Chicago Investment Risk Taking by Institutional Investors Janko Gorter, Dutch Central Bank Jacob Antoon Bikker, Bank of the Netherlands Real Pension Rights as a Control Mechanism for Pension Fund Solvency Jacob Antoon Bikker, Bank of the Netherlands Thijs Knaap, Algemene Pensioen Groep Ward E. Romp, University of Amsterdam An Economic History of Broiler Futures Aaron Hegde, California State University, Bakersfield Discussants: Abolhassan Jalilvand, Loyola University of Chicago Aaron Hegde, California State University, Bakersfield Martin Missong, University of Bremen 51 02/24/2012 4:00 PM–5:30 PM 104 Dividend Policy and Share Repurchases Location: Gallier, 4th Rafael F. Schiozer, Getulio Vargas Foundation Do Not Wake Sleeping Dogs: Payout Policies in Founding Family Firms Jean-Philippe Weisskopf, University of Fribourg (Switzerland) Informed Depositors and Bank Dividends Cristiano A. B. Forti, Universidade Federal de Uberlândia Rafael F. Schiozer, Getulio Vargas Foundation Cash Flow Considerations Around Share Repurchase Decisions Rohit Sonika, Lancaster University Nicholas F. Carline, Lancaster University Mark B. Shackleton, Lancaster University Discussants: Rohit Sonika, Lancaster University Paul Guest, University of London - Birkbeck College 02/24/2012 4:00 PM–5:30 PM 105 Special Topics on Oil and Gas Location: Salon 828, 8th Latha Shanker, Concordia University, Quebec An Empirical Investigation of the Link between Performance and Corporate Social Responsibility in the Oil and Gas Industry Adrian Cowan, Saint Mary's University of San Antonio Sandra Welch, University of Texas at San Antonio Orion Welch, Saint Mary's University of San Antonio US Oil Price Exposure: The Industry Effects Don Bredin, University College Dublin John Elder, Colorado State University Adequate Speculation, Excessive Speculation and Crude Oil Futures Price Volatility Yun Pan, Concordia University, Quebec Latha Shanker, Concordia University, Quebec Discussants: John Elder, Colorado State University Latha Shanker, Concordia University, Quebec Adrian Cowan, Saint Mary's University of San Antonio 52 02/24/2012 4:00 PM–5:30 PM 106 Cross-Country Studies in Financial Institutions Location: Edgewood, 4th Nonna Sorokina, Kent State University Cross-National and Cross-Industrial Implications of the Financial Reforms: Evidence from the Major Equity Markets Nonna Sorokina, Kent State University John Harris Thornton Jr., Kent State University The Politics of Bank Non Lending Activities Regulation: A Cross Country and Time Dynamic Study of the Role of Government and Private Industry Groups Carlos Humberto Méndez, Tulane University Determinants of Informal Credit Use: A Cross Country Study Elmas Yaldiz, University of Trento Yener Altunbas, University of Wales System - Bangor University Flavio Bazzana, University of Trento Discussants: Elmas Yaldiz, University of Trento Nonna Sorokina, Kent State University Carlos Humberto Méndez, Tulane University 02/24/2012 4:00 PM–5:30 PM 107 Mutual Funds Management Bolong Cao, Ohio University Location: Bayside A, 4th The Performance of Chinese Open End Stock Mutual Funds: A First Look Bolong Cao, Ohio University Wei He, Mississippi State University How Mutual Funds Compensate for Trading Costs Yonathan Schwarzkopf, Santa Fe Institute J. Doyne Farmer, Santa Fe Institute Short-Term Persistence in Hybrid Mutual Fund Performance: The Role of Style Shifting Abilities Ulf Herrmann, University of Erlangen-Nuremberg Hendrik Scholz, University of Erlangen-Nuremberg Discussants: Ulf Herrmann, University of Erlangen-Nuremberg Bolong Cao, Ohio University Yonathan Schwarzkopf 53 02/24/2012 4:00 PM–5:30 PM 108 Volatility Risk Alexander Barinov, University of Rochester Location: Cornet, 8th Institutional Ownership and Aggregate Volatility Risk Alexander Barinov, University of Rochester Volatility of Stock Return Variance and Capital Gains Tax Xia Meng, Brandeis University Junbo L. Wang, University of Southern California Zhipeng Yan, New Jersey Institute of Technology Yan Zhao, City College of New York Short Interest and Aggregate Volatility Risk Alexander Barinov, University of Rochester J. (Julie) Wu, Texas A&M University Discussants: Xia Meng, Brandeis University Alexander Barinov, University of Rochester Axel Grossmann, Radford University 02/24/2012 4:00 PM–5:30 PM 109 Foreign Currency Markets Location: Salon 817, 8th Ramya Rajajagadeesan Aroul, University of Texas-Arlington Linkages between the Foreign Exchange Markets of BRIC Countries – Brazil, Russia, India and China – and the US Ramya Rajajagadeesan Aroul, University of Texas at Arlington Peggy E. Swanson, University of Texas at Arlington Lessons from the Evolution of Foreign Exchange Trading Strategies Christopher J. Neely, Federal Reserve Banks - Federal Reserve Bank of Saint Louis Paul A. Weller, University of Iowa Exchange Rates and Foreign Direct Investment in Asian and Latin American Countries Christopher A. Laincz, Drexel University Lei Zhu, West Chester University of Pennsylvania Discussants: Lei Zhu, West Chester University of Pennsylvania Ramya Rajajagadeesan Aroul, University of Texas at Arlington Christopher Neely, Federal Reserve Bank of Saint Louis 54 02/24/2012 4:00 PM–5:30 PM 110 Special-Feature M&As and Private Equity Location: Southdown, 4th John Kensinger, University of North Texas Factors Affecting Survival, Closure and M&A Exit for Small Businesses Susan Coleman, University of Hartford Carmen Cotei, University of Hartford Joseph Farhat, Central Connecticut State University Cross Border Acquisitions Involving Emerging Market Firms: Do Country Characteristics Matter? P. C. Narayan, Indian Institute of Management, Bangalore M. Thenmozhi, Indian Institute of Technology), Madras Private Equity Arrangements as Real Options John W. Kensinger, University of North Texas Discussants: P. C. Narayan, Indian Institute of Management, Bangalore John Kensinger, University of North Texas Metin Kaptan, University of Muenster 02/24/2012 4:00 PM–5:30 PM Location: Bayside BC, 4th 111 International Financial Markets and Linkages Manu Gupta, Virginia Commonwealth Univ. Short Selling Ban and Cross-Sectoral Contagion: Evidence from the UK Azhar Mohamad, Bangor Business School Aziz Jaafar, University of Wales System - Bangor University The Relative Importance of Issue-Specific and Broad Regulatory Protections Against Expropriation Risk: International Evidence from SEOs Manu Gupta, Virginia Commonwealth University Nanda K. Rangan, Ohio University Credit Contagion between Financial Systems Natalia Podlich, Deutsche Bundesbank Michael Wedow, University of Mainz Discussants: Natalia Podlich, Deutsche Bundesbank Azhar Mohamad, Bangor Business School Manu Gupta, Virginia Commonwealth University 55 02/24/2012 4:00 PM–5:30 PM 112 Capital Expenditures / Acquisitions Location: Oak Alley, 4th Elias Raad, Lebanese American University Cost of Capital Analysis: U.S.-Based Multinational Corporations Versus U.S. Domestic Corporations Zhimin Wang, East Central University Ike Mathur, Southern Illinois University at Carbondale Scott D. Gilbert, Southern Illinois University at Carbondale Market Reaction to Capital Expenditures of Powerful CEOs Anwar S. Boumosleh, Lebanese American University Elias A Raad, Lebanese American University Do Cross-Border Acquisitions Create More Shareholder Value than Domestic Deals for Firms in a Matured Economy? The Japanese Case Kotaro Inoue, Keio University Robert Ings, The Nikko Securities Co., Ltd Discussants: Kotaro Inoue, Keio University Zhimin Wang, East Central University Elias Raad, Lebanese American University 02/24/2012 4:00 PM–5:30 PM 113 Corporate Governance III Location: Oakley, 4th Gary Caton, Montana State University - Bozeman Open Market Share Repurchase Programs and Corporate Governance: Revaluation and Company Performance Gary Caton, Montana State University - Bozeman Jeremy Goh, Singapore Management University Yen Teik Lee, Singapore Management University Scott C. Linn, University of Oklahoma CEO Tournaments: a Cross-Country Analysis of Causes, Cultural Influences and Consequences Natasha Burns, University of Texas at San Antonio Kristina Minnick, Bentley University Laura T. Starks, University of Texas at Austin Predicting Corporate Governance in Emerging Markets Marcus V. Braga-Alves, Marquette University Matthew R. Morey, Pace University Discussants: Zhou Zhang, University of Regina Gary Caton, Montana State University - Bozeman Natasha Burns, University of Texas at San Antonio 56 02/25/2012 9:00 AM–10:30 AM 114 Quantitative Methods in Portfolio Selection Location: Salon 816, 8th Jamie Alcock, University of Cambridge Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth it? Rand Kwong Yew Low, University of Queensland Jamie Alcock, University of Cambridge Timothy Brailsford, University of Queensland Robert W. Faff, University of Queensland A Smooth Transition Autoregressive Approach to Investigating the Market Timing Ability of Fund Managers George Woodward, University of Colorado at Colorado Springs Larry J. Prather, Southeastern Oklahoma State University Discussants: Jamie Alcock, University of Cambridge Larry Prather, Southeastern Oklahoma State University 02/25/2012 9:00 AM–10:30 AM 115 Hedge Funds Li Cai, Illinois Institute of Technology Location: Estherwood, 4th Flows: The ‘Invisible Hands’ on Hedge Fund Management Shuang Feng, Edinboro University of Pennsylvania Mila Getmansky, Eugene M. Isenberg School of Management Nikunj Kapadia, University of Massachusetts at Amherst Hedge Fund Styles: 2005–2011 Li Cai, Illinois Institute of Technology Bing Liang, University of Massachusetts at Amherst A Comparison of Hedge Fund Gross and Net Performance Shuang Feng, Edinboro University of Pennsylvania Discussants: Douglas Evanoff, Federal Reserve Banks - Federal Reserve Bank of Chicago Shuang Feng, Edinboro University of Pennsylvania TBA 02/25/201 9:00 AM–10:30 AM 116 Collateral Assets and Securitization Location: Salon 817, 8th Jung-Hyun Ahn, Rouen Business School Securitization, Competition and Incentive to Monitor Jung-Hyun Ahn, Rouen Business School Regis Breton, Université d'Orléans On the Optimal Design of Risk Retention in Securitisation Metin Kaptan, University of Muenster Asymmetric Effects of the Financial Crisis: Collateral-Based Investment-Cash Flow Sensitivity Analysis Vadim Khramov, International Monetary Fund Megan Clifford, RAND Corporation Discussants: Vadim Khramov, International Monetary Fund Jung-Hyun Ahn, Rouen Business School Sudip Ghosh, Pennsylvania State University 57 02/25/2012 9:00 AM–10:30 AM 117 International Cross Listings Location: Evergreen, 4th Wolfgang Bessler, University of Giessen How Crosslisting Affects Merger and Acquisition Activity Elena Skouratova, University of Texas at San Antonio John K. Wald, University of Texas at San Antonio The Listing and Delisting of German Firms on NYSE and NASDAQ: Were There Any Benefits? Wolfgang Bessler, University of Giessen Fred R. Kaen, University of New Hampshire Philipp Kurmann, University of Giessen Jan Zimmermann, University of Giessen Discussants: Wolfgang Bessler, University of Giessen Elena Skouratova, University of Texas at San Antonio 02/25/2012 9:00 AM–10:30 AM 118 Trading and Valuation Location: Salon 828, 8th Yanhao Fang, Louisiana State University, Baton Rouge Valuing High Technology Growth Firms Jan Klobucnik, University of Cologne Soenke Sievers, University of Cologne An Analysis of Market Efficiency in Response to Short Sale Information Guo Kai, University of Pittsburgh at Johnstown John Conlon Robert A. Van Ness, University of Mississippi Valuation of Liabilities in Hybrid Pension Plans Dirk Broeders, Bank of the Netherlands An Chen, University of Bonn David R. Rijsbergen, Bank of the Netherlands Discussants: Guo Kai, University of Pittsburgh at Johnstown Dirk Broeders, Bank of the Netherlands Jan Klobucnik, University of Cologne 58 02/25/2012 9:00 AM – 10:30 AM 119 Investors’ Sentiments Location: Salon 825, 8th Stephan Süss, University of Saint Gallen Published Stock Recommendations as Institutional Investor Sentiment in the Near-Term Stock Market Frank Dreher, Goethe University Frankfurt Saskia Laser, University of Rostock Nico Singer, University of Rostock Market Sentiment in Commodity Futures Returns Lin Gao, University of Saint Gallen Stephan Süss, University of Saint Gallen Portfolio Diversification Dynamics of Individual Investors: A New Measure of Investor Sentiment Patrick Roger, EM Strasbourg Business School Discussants: Patrick Roger, EM Strasbourg Business School Saskia Laser, University of Rostock Stephan Süss, University of Saint Gallen 02/25/2012 9:00 AM–10:30 AM 120 Corporate Governance IV Location: Oak Alley, 4th Don Chance, Louisiana State University, Baton Rouge How Much Do Corporate Defendants Really Lose? A New Verdict on the Reputation Loss Induced by Corporate Litigation Aimee Nicole Hoffmann, Florida State University Irena Hutton, Florida State University Bruce Haslem, Southern Utah University Performance and Valuation Implications of Board Effectiveness for Firms Comprising the S&P/TSX Index Brian A. Conheady, University of Ottawa Philip McIlkenny, University of Ottawa Kwaku K. Opong, University of Glasgow Isabelle Pignatel, Euromed Management Birds of a Feather: Does Political Alignment between Top Management and the Board Weaken Internal Corporate Governance? Jongsub Lee, University of Florida Kwang Lee, University of Pittsburgh Nandu J. Nagarajan, University of Pittsburgh Discussants: TBA Aimee Hoffmann, Florida State University Don Chance, Louisiana State University, Baton Rouge 59 02/25/2012 9:00 AM–10:30 AM 121 Statistical Features of Asset Pricing Location: Bayside A, 4th Octave Jokung, EDHEC Business School Skewness and Kurtosis Persistence: Conventional vs. Robust Measures A. Tolga Ergun, Suffolk University Covariance Estimation with Price Range Information Min-Hsien Chiang, National Cheng Kung University Li-Min Wang, National Cheng Kung University Change in Bivariate Risk and Asset Prices Octave Jokung, EDHEC Business School Discussants: Min Hsien Chiang, National Cheng Kung University Octave Jokung, EDHEC Business School Tolga Ergun, Suffolk University 02/25/2012 9:00 AM–10:30 AM 122 IPOs and SEOs Location: Gallier, 4th Duc Anh Ngo, University of Texas at El Paso The Effects of Ownership Structure on Payout Policy: Evidence from Seasoned Equity Offerings (SEOs) Duc Anh Ngo, University of Texas at El Paso Order Imbalances Around Seasoned Equity Offerings Sukwon Thomas Kim, Vanderbilt University Ronald W. Masulis, University of New South Wales Discussants: Sukwon Kim, Vanderbilt University Duc Anh Ngo, University of Texas at El Paso 02/25/2012 9:00 AM–10:30 AM 123 Liquidity Issues I Location: Oakley, 4th Elisabeta Pana, Illinois Wesleyan University Bank Monitoring and Liquidity in the Secondary Market for Loans Yu Jin, Iowa State University Credit Unions as Liquidity Creators Elisabeta Pana, Illinois Wesleyan University Tarun K. Mukherjee, University of New Orleans Political Influence and TARP Investments in Credit Unions Linus Wilson, University of Louisiana at Lafayette Discussants: Linus Wilson, University of Louisiana at Lafayette Yu Jin, Iowa State University Elisabeta Pana, Illinois Wesleyan University 60 02/25/2012 9:00 AM–10:30 AM 124 Issues in Asset Pricing Pankaj Jain, University of Memphis Location: Cornet, 8th Liquidity Based Indicators of the Financial Crisis and its Resolution Xiankui Hu, Arkansas State University Chinmay Jain, University of Memphis Pankaj K. Jain, University of Memphis Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach Stylianos Perrakis, Concordia University, Quebec Ali Boloor Foroosh, Concordia University, Quebec Discussants: Ali Boloor Foroosh, Concordia University, Quebec Ning Cao, University of Alberta Adam Gehr, DePaul University 02/25/2012 9:00 AM–10:30 AM 125 Fixed-Income Asset Management Location: Southdown, 4th Martin Rohleder, University of Augsburg Bond Fund Disappearance: What’s Return Got to Do with It? Martin Rohleder, University of Augsburg Hendrik Scholz, University of Erlangen-Nuremberg Marco Wilkens, University of Goettingen (Gottingen) An Empirical Bond Portfolio Study: Evidence from the Asian Emerging Bond Market Carolyn Jinghua Wang, Illinois Institute of Technology John F.O. Bilson, Illinois Institute of Technology How Smart is the 'Smart Money'? Evidence from Corporate Bond Mutual Funds Yong Chen, Virginia Polytechnic Institute & State University Nan Qin, Virginia Polytechnic Institute & State University Discussants: Carolyn Jinghua Wang, Illinois Institute of Technology Nan Qin, Virginia Polytechnic Institute & State University Martin Rohleder, University of Augsburg 02/25/2012 9:00 AM–10:30 AM 126 Financial Policy Location: Edgewood, 4th Giorgo Sertsios, University of Houston Mitigating Agency Problems through Investment Decisions: Evidence from Franchising Giorgo Sertsios, University of Houston Optimal Capital Structure, Relation-Specific Investment, and Supplier Competition Yongqiang Chu, University of South Carolina Introduction of New CEO Incentive Structure and Effects on Firm Policies Ranjan D'Mello, Wayne State University Discussants: Yongqiang Chu, University of South Carolina Ranjan D'Mello, Wayne State University Giorgo Sertsios, University of Houston 61 02/25/2012 10:45 AM–12:15 PM 127 Liquidity Issues II Location: Oakley, 4th Jose Berrospide, Federal Reserve Board Liquidity, Liquidity Risk and the Cross Section of Mutual Fund Returns Andrew A Lynch, University of Missouri at Columbia Banks’ Responses to Funding Liquidity Shocks: Lending Adjustment, Liquidity Hoarding and Fire Sales Leo de Haan, Bank of the Netherlands Jan Willem van den End, Bank of the Netherlands Liquidity Hoarding and the Financial Crisis: An Empirical Evaluation Jose M. Berrospide, Federal Reserve Board Discussants: Jose Berrospide, Federal Reserve Board Andrew Lynch, University of Missouri at Columbia Leo de Haan, Bank of the Netherlands 02/25/2012 10:45 AM–12:15 PM 128 International Corporate Finance Location: Oak Alley, 4th Valentina Galvani, University of Alberta Valuation Effects of the Sarbanes-Oxley Act: Evidence from Seasoned Equity Offerings by Canadian Cross-Listed Firms Arturo Rubalcava, University of Regina Firm-Specific Shocks for Corporate Bonds of Publicly Traded Canadian Companies Valentina Galvani, University of Alberta Ning Cao, University of Alberta Discussants: Valentina Galvani, University of Alberta Arturo Rubalcava Cervantes, University of Regina 02/25/2012 10:45 AM–12:15 PM 129 International Asset Pricing Location: Salon 816, 8th Clemens Kool, University of Utrecht Using Transfer Entropy to Measure Information Flows Between Financial Markets Franziska J. Peter, University of Tuebingen Thomas Dimpfl, University of Erfurt Luis Huergo, University of Tuebingen Time-Varying Financial Spillovers from the US to Frontier Markets Galin Todorov, Florida International University Prasad V. Bidarkota, Florida International University The Impact of International Portfolio Composition on Consumption Risk-Sharing Clemens J.M. Kool, University of Utrecht Nils Holinski, Maastricht University Joan Muysken, Maastricht University Discussants: Clemens Kool, University of Utrecht Thomas Dimpfl, University of Erfurt Galin Todorov, Florida International University 62 02/25/2012 10:45 AM–12:15 PM 130 Financing Issues II Collin Gilstrap, Clemson University Location: Cornet, 8th The Impact of Monetary Policy on the Corporate Balance Sheet Haibo Yao, Mississippi State University Kenneth Roskelley, Mississippi State University The Bankers Blessing Collin Gilstrap, Clemson University Aggregation of Information in Bank Holding Companies Drew Dahl, Utah State University Discussants: Collin Gilstrap, Clemson University Drew Dahl, Utah State University Haibo Yao, Mississippi State University 02/25/2012 10:45 AM–12:15 PM Location: Bayside A, 4th 131 German Financial Institutions The Value of Industrial Shareholdings in a Universal Bank: The Case of Deutsche Bank in the 1990s Stephan H. Späthe, Goethe University Frankfurt The Perils of Performance Measurement in the German Mutual Fund Industry Philip Böhme, Allianz Global Investors Europe Walt Pohl, University of Zurich Karl H. Schmedders, Swiss Finance Institute Discussants: Walt Pohl, University of Zurich Stephan Späthe, Goethe University Frankfurt 02/25/2012 10:45 AM–12:15 PM 132 Compensation Location: Gallier, 4th Naoki Watanabel, Toyo University Do Compensation Plans with Performance Targets Provide Better Incentives? Helena Pinto, University of Strathclyde, Glasgow Martin Widdicks, Lancaster University Revisiting the Relation between Factors Like CEO’s Tenure and Age with CEO Compensation and Corporate Performance Samuel B. Bulmash, University of South Florida Nilesh Balaram Sah, University of South Florida Relation between Top Executive Compensation Structure and Corporate Governance: Evidence from Japanese Public Disclosed Data Hideaki Sakawa, Nagoya City University Keisuke Moriyama, Nagoya City University Naoki Watanabel, Toyo University Discussants: Nilesh Balaram Sah, University of South Florida Hideaki Sakawa, Nagoya City University Martin Widdicks, Lancaster University 63 02/25/2012 10:45 AM–12:15 PM 133 Performance Measurement and Management Technology Location: Salon 817, 8th Phillip Turvey, Queensland University of Embedded Tax Liabilities and Portfolio Choice Phillip Ashley Turvey, Queensland University of Technology Anup K. Basu, Queensland University of Technology Peter Verhoeven, Queensland University of Technology Predictive Power of the Limit Order Book for Future Volatility, Trade Price, and Speed of Trading Pankaj K. Jain, University of Memphis Pawan Jain, University of Memphis Thomas H. McInish, University of Memphis The Alpha Bias in Asset Allocation Performance Measurement Don M. Chance, Louisiana State University, Baton Rouge Discussants: Pawan Jain, University of Memphis Adam Gehr, DePaul University Phillip Turvey, Queensland University of Technology 02/25/2012 10:45 AM – 12:15 PM 134 IPOs and Valuation Location: Salon 825, 8th Sandra Dow, Monterey Institute of International Studies The Human Capital Factor in IPO Decision Shan He, Louisiana State University, Baton Rouge C. Wei Li, University of Iowa Start-Up Firm Valuation: A Real-Options Approach Matthias Bank, University of Innsbruck Katrin Wibmer, University of Innsbruck Greenhouse Gas Emissions Mitigation and Firm Value: A Study of Large North American and European Firms Raj Aggarwal, University of Akron Sandra Dow, Monterey Institute of International Studies Discussants: Sandra Dow, Monterey Institute of International Studies Shan He, Louisiana State University, Baton Rouge Katrin Wibmer, University of Innsbruck 64 02/25/2012 (moved to 9:00 AM–10:30 AM) 135 Dividend Policy Laurence Booth, University of Toronto Location: Bayside BC, 4th Payout Policy: Manager Preferences vs. Investor Clienteles Kevin Krieger, University of Tulsa Bong-Soo Lee, Florida State University Nathan Mauck, University of Missouri at Kansas City Globalization and Disappearing Dividends Laurence David Booth, University of Toronto Bin Chang, University of Ontario Institute of Technology Jun Zhou, University of Toronto On the Causes of Volatility Effects of Dividend Initiations Chintal Desai, University of Texas-Pan American University of Texas-Pan American Khoa Huu Nguyen, University of Texas-Pan American Robert Savickas, George Washington University Discussants: Laurence Booth, University of Toronto Chintal Desai, University of Texas-Pan American Kevin Krieger, University of Tulsa 02/25/2012 10:45 AM–12:15 PM 136 Corporate Governance and Performance Location: Southdown, 4th Jason Howell, University of Denver The Value of Blockholder Liquidity and the Decision to Unify Share Classes Jason W. Howell, University of Denver Board Independence, Ownership Concentration and Corporate Performance Ke Li, Shanghai Stock Exchange Lei Lu, Shanghai University of Finance and Economics Usha R. Mittoo, University of Manitoba Zhou Zhang, University of Regina Forced Turnover: A Panacea for Poor Performance? Evidence from the Banking Industry Zhongdong Chen, University of Tennessee, Knoxville Discussants: Usha Mittoo, University of Manitoba Zhongdong Chen, University of Tennessee, Knoxville Jason Howell, University of Denver 65 02/25/2012 10:45 AM–12:15 PM Location: Salon 828, 8th 137 Accounting Information, Valuation Model and Index Revisions Chayawat Ornthanalai, Georgia Institute of Technology Schwartz and Moon Valuation Model: Evidence from IT Companies Safwan Mchawrab, Reims Management School Stephane Dubreuille, Reims Management School Sebastien Lleo, Reims Management School Accounting Information Releases and CDS Spreads Redouane Elkamhi, University of Iowa Kris Jacobs, University of Houston Hugues Langlois, McGill University Chayawat Ornthanalai, Georgia Institute of Technology Anticipatory Effects in the FTSE 100 Index Revisions Marcelo Fernandes, University of London, Queen Mary Joao Mergulhao, Getulio Vargas Foundation Discussants: João Mergulhão, Getulio Vargas Foundation Safwan Mchawrab, Reims Management School Kwaku Opong, University of Glasgow 02/25/2012 10:45 AM–12:15 PM 138 Mergers and Acquisitions III Location: Evergreen, 4th Wolfgang Bessler, University of Giessen Heterogeneous Market Responses and the Listing Effect in M&A Qingzhong Ma, Cornell University David A. Whidbee, Washington State University Athena Wei Zhang, Ithaca College Stock Price Correlation and the Method of Payment in Corporate Acquisitions Vineet Bhagwat, Kellogg School of Management Robert A. Dam, Northwestern University Acquisition Activities of Initial Public Offerings in Europe: An Analysis of Exit and Growth Strategies Wolfgang Bessler, University of Giessen Jan Zimmermann, University of Giessen Discussants: Jan Zimmermann, University of Giessen Qingzhong Ma, Cornell University Robert Dam, Northwestern University 66 02/25/2012 10:45 AM–12:15 PM 139 Capital Structure II Location: Edgewood, 4th John Wald, University of Texas at San Antonio Does The Firm’s Receivable Policy Tend to be Uniform Across their Industry and Stable over Time? Evidence from Matured Firms Balbinder Singh Gill, Ghent University Does Unsecured Debt Mitigate the Negative Effects of Growth Options on Leverage? Joseph H. Golec, University of Connecticut Erasmo Giambona, University of Amsterdam The Debt Trap: Wealth Transfers and Capital Structure Choice Palani-Rajan Kadapakkam, University of Texas at San Antonio Alex Meisami, Indiana University South Bend John K. Wald, University of Texas at San Antonio Discussants: Joseph Golec, University of Connecticut John Wald, University of Texas at San Antonio Balbinder Singh Gill, Ghent University Program Concludes Thank You for Participating 67
